Probabilistic Structure of Time-Series Data
Carlo A. Favero · 2001
Abstract In the previous chapter we introduced time-series to show that time-series violates one of the fundamental properties necessary to perform valid estimation and inference in the linear model. In this chapter we shall discuss this issue at greater depth and length by precisely defining time-series and the fundamental concepts used to analyse them, illustrating how the problem introduced can be resolved in the context of stationary time-series, and, finally, extend our discussion to non-stationarity and cointegration.