Timeline for Why, exactly, is a unit root a problem?
Current License: CC BY-SA 4.0
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| Mar 2, 2023 at 16:31 | comment | added | user2520938 | E.g. regression question give misleading answers, but that's not a problem from a mathematical pov, just from an interpretation pov. Another way of phrasing my question would be why time series text books usually assume the stationarity throughout. It seems that a lot of the analysis with regards to AR models in most books work in presence of unit roots without problem. | |
| Mar 2, 2023 at 16:30 | comment | added | user2520938 | But I'm looking for a concrete example of why it matters? A specific example of something that breaks/does not work, from a mathematical point of view, in the presence of a unit root. | |
| Mar 2, 2023 at 16:26 | history | answered | chrishmorris | CC BY-SA 4.0 |