White noise, and weak- and wide-sense stationarity


Weak- and wide-sense stationarity

Unconditional probabilities don’t change over time.

So GDP would not be stationary, but random noise would. A random walk is not stationary, because the variance increases over time.

Weak-sense stationary

Mean and autocovarinance don’t change over time.

Wide-sense stationary

All moments are the same.

Unit roots


White noise

Variables at each time are indepdendent.