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Can every non-stationary time series be converted to a stationary time series by applying differencing, and if yes why not do it on all non-stationary series? Please explain this in plain english without to much math. I have just started my econometrics semester and need to understand this!

danish_student
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    Why do you think that getting a stationary series makes us rich? – Dave Jul 31 '21 at 20:36
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    "Can every non-stationary time series be converted to a stationary time series by applying differencing?" Unfortunately. **No**. – Dilip Sarwate Jul 31 '21 at 21:02
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    No. Only I(1) processes can be made stationary thru differencing. Even in that case, differencing can sometimes lead to loss of information, due to co-integration. – Shang Zhang Aug 01 '21 at 01:35
  • I understand that besides having a stationary series you also need significant coefficients to make money. – danish_student Aug 01 '21 at 09:58

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