Statistics Inference for stochastic processes and time series Concept
Cointegration
Summary
Several non-stationary time series are cointegrated when some linear combination of them is stationary. The series then wander, but they wander together, held by a long-run equilibrium relation. Clive Granger introduced the idea, and Robert Engle and Granger developed its theory and tests in a 1987 paper. Cointegration is central in the econometrics of prices, interest rates and other economic series.
Further reading
About this page
| Tag | V1S1223G5E |
|---|---|
| URI | m2://V1S1223G5E |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62M10, 91B84, 62P20 |
| Same as |
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