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Which components or statistics of ARMA will be affected - and how - if the stationarity condition is violated?

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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.

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  • $\begingroup$ 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"? $\endgroup$
    – Richard Hardy
    Dec 6, 2015 at 12:22
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    $\begingroup$ Can you explain impact multiplier? $\endgroup$
    – GeorgeOfTheRF
    Dec 8, 2015 at 13:43

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