Econometrics II

We have been further occupied with strict stationarity, defined weak (or second order, or covariance) stationarity, examined examples and counter-examples, and defined the autocovariance (and autocorrelation) function(s) of a weakly stationary process, and the subsequent notions of regularity and absolute summability of those functions. We considered the basic example of a causal linear process defined on a strictly stationary white noise, and examined the stationarity (strict and weak) properties of such a process.