I know that a random walk is an AR(1) with a unit root, but there are also higher order autoregressive processes with unit roots. Does the unit root in such a higher order autoregressive process also imply unpredictability (or at least that the best forecast is just the current state as for a random walk) of the time series? Are forecasts of processes with unit roots possible if it is a higher order AR-process?
Random-walk and unit root processes predictable?
J3lackkyy
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