{
  "aliases": null,
  "backlinks": [
    {
      "field": "defines",
      "target": "GJVBTYF9YM"
    }
  ],
  "body": "\n## Summary\n\nSeveral non-stationary time series are cointegrated when some linear combination of them is stationary.\nThe series then wander, but they wander together, held by a long-run equilibrium relation.\nClive Granger introduced the idea, and Robert Engle and Granger developed its theory and tests in a 1987 paper.\nCointegration is central in the econometrics of prices, interest rates and other economic series.\n\n## Explanations\n\n### L1 human\n\nPicture a person walking a dog on a long leash through a park.\nEach path wanders unpredictably, but the distance between them stays bounded because of the leash.\nThe two paths are cointegrated, and their difference is the stationary combination.\nTwo independent walkers without a leash are not: their distance can grow without bound.\n",
  "commit": "ff8a40749dc16545e3d2fc637f6b0196e81d0bfa",
  "front": {
    "kind": "concept",
    "msc": [
      "62M10",
      "91B84",
      "62P20"
    ],
    "name": "Cointegration",
    "same_as": {
      "wikidata": "Q1751675",
      "wikipedia": "Cointegration"
    },
    "sources": [
      {
        "url": "https://en.wikipedia.org/wiki/Cointegration"
      }
    ],
    "tag": "V1S1223G5E"
  },
  "kind": "concept",
  "link": "https://tamnd.github.io/math2/node/V1S1223G5E/",
  "links": null,
  "markdown": "https://tamnd.github.io/math2/node/V1S1223G5E.md",
  "msc": [
    "62M10",
    "91B84",
    "62P20"
  ],
  "name": "Cointegration",
  "prov": null,
  "role": "",
  "source": "https://github.com/tamnd/math2/blob/main/nodes/V1S/V1S1223G5E.md",
  "status": null,
  "tag": "V1S1223G5E",
  "uri": "m2://V1S1223G5E",
  "url": "https://tamnd.github.io/math2/wiki/cointegration/",
  "writing": {
    "tag": "V1S1223G5E",
    "kind": "concept",
    "level": "W0",
    "next": [
      {
        "what": "an inventory row",
        "note": "the row of the inventory that the node accounts for",
        "have": 0,
        "want": 1
      },
      {
        "what": "a source with a locator",
        "have": 0,
        "want": 1
      }
    ]
  }
}