Basically stationarity means that a time series has a constant mean and constant variance over time. Although not particularly important for the estimation of parameters of econometric models these features are essential for the calculation of reliable test statistics and, hence, can have a significant impact on model selection.
To illustrate this concept, let’s look at quarterly data on disposable income in billion DM from 1960 to 1982, which is data set E1 from Luetkepohl (2007).
Work in progress (September 2023). I will try to update this page over the next few months.
This section is intended to provide an overview of the relevant issues in (macro)economic time series analysis. Again the standard disclaimer: This site does not replace a good textbook, but it should help you to get a grasp of the basic concepts more quickly than if you learned it on your own.
The intended structure of this site is: