Which components or statistics of ARMA will be affected - and how - if the stationarity condition is violated?
1 Answer
$\begingroup$
$\endgroup$
2
The quick answer is, the stationarity assumption is needed because if it is violated, the impact multiplier will have a bigger impact period after period. Whereas if the stationarity condition is respected, the impact multipliers of shocks tend to 0 quickly enough it i tends to infinity.
-
$\begingroup$ Are you sure you mean this: "the impact multiplier will have a bigger impact"? Also, what do you mean by "it i tends to infinity"? $\endgroup$ Dec 6, 2015 at 12:22
-
1