Stationarity and Unit Roots foundational
Why time-series stability matters, why random walks mislead regressions, and what differencing fixes and destroys.
Why time-series stability matters, why random walks mislead regressions, and what differencing fixes and destroys.
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons
Selecting appropriate methodological framework for time series data analysis
Min B. Shrestha, Guna R. Bhatta
— The Journal of Finance and Data Science
Co-Integration and Error Correction: Representation, Estimation, and Testing
Robert F. Engle, C. W. J. Granger
(1987)
— Econometrica