3

2
1
0
wn

-1
-2
-3

0 200 400 600 800 1000

Time

A white noise process with T=1000

Heres another stationary time series, AR(1) process. Not all

autoregressive processes are stationary:
3
2
1
ar

0
-1
-2
-3

0 200 400 600 800 1000

Time

This is a non-stationary (random walk) process:

80
60
40
rw

20
0

0 200 400 600 800 1000

time

Here are some more comments and remarks about stationarity:

Due to its nice properties and easier forecasting,

stationarity is a sought for structure in time series.

20
 Non-stationary time series can be made stationary by doing
some operations such as differencing and transformation.
200,000

100,000

0
2,000,000

1,800,000 -100,000

1,600,000
-200,000
1,400,000

1,200,000

1,000,000

800,000
Q12000
Q32000
Q12001
Q32001
Q12002
Q32002
Q12003
Q32003
Q12004
Q32004
Q12005
Q32005
Q12006
Q32006
Q12007
Q32007
Q12008
Q32008
Q12009
Q32009
Q12010
Q32010
Q12011
Q32011
Q12012
Q32012
Q12013
Q32013
Q12014
GDP D(GDP)

A differenced series (red)

.2

.1

2,000,000 .0

1,800,000
-.1
1,600,000

1,400,000 -.2

1,200,000

1,000,000

800,000
Q12000
Q32000
Q12001
Q32001
Q12002
Q32002
Q12003
Q32003
Q12004
Q32004
Q12005
Q32005
Q12006
Q32006
Q12007
Q32007
Q12008
Q32008
Q12009
Q32009
Q12010
Q32010
Q12011
Q32011
Q12012
Q32012
Q12013
Q32013
Q12014

GDP DLOG(GDP)

A differenced and transformed series (red)

A stationary process will almost always refer to weak

stationarity.
More than time plots, formal test should be done (e.g. the
Augmented Dickey-Fuller test).
Non-stationary time series might have a spurious
relationship, extra care must be done when doing time
series regression. A cointegration test is needed to establish
a statistically significant connection.

21