Interview Question: Weak Condition

Sample Question #215 (econometrics – time series)

Define weak stationarity, first in words and then in formal expression. What does it imply for mean and covariances?

Comment on strict (or strong) stationarity.

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One Response to Interview Question: Weak Condition

  1. Brett says:

    ANSWER
     
    Weak stationarity for a time series means the first and second moments of the process that generates the series are time-invariant. In particular, the mean and covariances between two times are constant over time. Strong/strict stationarity means all higher moments are also time-invariant.
     

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