4.4 Parameter Constancy / Stationarity

• What is the distinction between ergodic and stationary?
• Is strict stationarity a sufficient condition for ergodicity?

4.4.1 Recursive Graphics

Recursive graphics can be used to check how constant the model’s parameter estimates are over time. (Hendry and Nielsen 2007)

References

Hendry, David F, and Bent Nielsen. 2007. Econometric Modeling: A Likelihood Approach. Princeton University Press.