What is the difference between a time series without autocorrelation, and a stationary time series?

If they are the same, why do we need to do both the Ljung-Box test and unit root test?

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- Mar 30th 2010, 06:50 AMeuleriantime series
What is the difference between a time series without autocorrelation, and a stationary time series?

If they are the same, why do we need to do both the Ljung-Box test and unit root test? - Mar 30th 2010, 10:06 PMCaptainBlack
Consider a time series where the value at epoc $\displaystyle i$ is normally distributed with zero mean and variance $\displaystyle \sigma_i^2=|i|$ and independedent of the values at all other epocs. The autocorrelation of this process is clearly zero for all non-zero lags and it is also clearly non-stationary.

CB - Mar 31st 2010, 02:28 AMeulerian
- Mar 31st 2010, 02:52 AMCaptainBlack