I understand that if the absolute value of the lag coefficient is less than 1, then it is covariance stationary. But what if the coefficient is greater than 1, but statistically insignificant? Does it matter that it is statistically insignificant?
Significant and nonsignificant are subject specific terminology and are different from common usage of the words, “insignificant” isn’t a statistical term.
What does it mean to you if something is ‘nonsignificant’?
How large is the coefficient?
What is the p-value for the test? What is the 95% CI for the coefficient?
How many degrees of freedom are there for the pertinent p-value and test?