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?

Printable View

- March 30th 2010, 07:50 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? - March 30th 2010, 11:06 PMCaptainBlack
Consider a time series where the value at epoc is normally distributed with zero mean and variance 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 - March 31st 2010, 03:28 AMeulerian
- March 31st 2010, 03:52 AMCaptainBlack