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Why do we need the dependent variable to be stationary when using ARMA/ARIMA? Aren't we already accounting for that autocorrelation by using ARMA terms? Isn't the whole point to use its auto-correlation to predict itself?

Plus, I have tried fitting ARMA/ARIMA models to stationary (differenced) and level series and found that the levels series were much more conducive to ARMA specifications.

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