Econometrics - VN

Question 1

When do we have strict stationaity?

Answer 1

f(X1, X2, … Xt) =
f(X1+j, X2+j…Xt+j)
The joint distribution does not change when time shifts from t to t+j for any j = 1, 2,…, k.

Question 2

When do we have a weakly stationary process?

Answer 2

A random process Xt is called a weakly stationary process if the following conditions are met:

1) E[Xt] = μ : constant
2) Var[Xt] = σ^2 : constant and finite
3) Cov[Xt, Xt-j] =