ARMAX stationarity - Do the exogenous variables need to be stationary too?

Asked Jun 16 '20 at 10:19

Active Jun 16 '20 at 10:24

Viewed 120 times

It concerns the ARMAX time series modelling.

In order to have a stationary time series, does the exogoneous part need to be stationary too ? Or it does not have any influence ?

Thank you all !

edited Jun 16 '20 at 10:24

asked Jun 16 '20 at 10:19

Pingu

Yes, for stationarity the "X" part of ARMAX needs to be stationary. – Michael Jun 18 '20 at 05:43

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