Concepts Basically stationarity means that a time series has a constant mean and constant variance over time. Althouth not particularly imporant for the estimation of parameters of econometric models these features are essential for the calculation of reliable test statistics and, hence, can have a significant impact on model selection.
To illustrate this concept, let’s look at quarterly data on disposable income in billion DM from 1960 to 1982, which is data set E1 from Luetkepohl (2007).