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发表于 2010-6-4 06:25 | 显示全部帖子
if the b1>1, the formula won't be a mean-reversion expression which means it's not a stable situation. no reverting anymore under such condition.

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forwhat

Rank: 1

UID
137773 
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101 
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2009-7-5 
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2015-5-12 
2#
发表于 2010-6-4 12:22 | 显示全部帖子
no no, you misunderstand my explanation. When b_0>1, the equation/formula won't be a mean-reversion one. Reverting doesn't exist under such condition.

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forwhat

Rank: 1

UID
137773 
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101 
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2 
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2009-7-5 
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2015-5-12 
3#
发表于 2010-6-4 13:19 | 显示全部帖子
when b_1>1, the time series will be an exponentially increasing sequence and for sure it won't have unit root and people call it non-stationary.

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