If a series is covariance stationary then the unconditional mean is constant across periods. The unconditional mean or expected value is the same from period to period: E[xt] = E[xt+1]. The covariance between any two observations equal distance apart will be equal, e.g., the t and t-2 observations with the t and t+2 observations. The one relationship that does not have to be true is the covariance between the t and t-1 observations equaling that of the t and t-2 observations. |
