I have a very basic question. Please let me know if this has been asked before, but in my defence I haven't seen it on Cross Validated.
I understand that if a process depends on previous values of itself then it is an AR process. If it depends on previous errors than it is an MA process.
My question is, when would one of either of these two situations occur? Does anyone have a solid example that illuminates the underlying issue regarding what it means for a process to be best modelled as MA vs AR?
In my search for some sort of intuitive or dare I say philosophical insights into the difference between these two models, I keep running into material where an author makes a statement along the line of the above, and then immediately moves to discussing diagnostics: acf, pacf, etc.
Although I have the gut feeling that there is no simple answer to my question, if anyone can either enlighten me or point me to a good resource, I'd be grateful.