1. ## Stationary process

I dont get this question and cant find an I(1) process anywhere
any help would be so useful

What is meant by a stationary process?
(a) Consider the processes

and show that the first is stationary and the second is not.
(b) What is an I(1) process? How would you test that a data series
has been generated from an I(1) process?
(c) What is meant by saying that series are cointegrated?
(d) How can cointegration come about?

2. a) Well, the first process is a MA(1) process, and MA processes are always stationary, no matter what.

The second process is an AR(1) process, and they are either stationary or not. This particular AR process is called a random walk process and is not stationary.

b) An I(1) process is a non-stationary process that has ben first differenced (excuse my English) in order to make that particular process stationary. You could test this with a Dickey-Fuller unit root test.

c) If two series are cointegrated then there exists some long-term equilibrium between those two series.

d) It can for example come about because of arbitrage opportunities that arise in markets.