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Cointegration

Cointegration

Cointegration:

Cointegration is a statistical tool for describing the co-movement of data measured over time. The concept of cointegration is widely used in applied time series analysis, especially in econometrics.


Two (or a greater number) of nonstationary time series are called to be cointegrated if there exists a stationary linear combination of these variables. Consider, for example, two time series xt and yt described by the following model:



yt = a + b xt + ut;


where xt is a non-stationary time series, ut is a stationary time series. In this case, the time series yt and xt are cointegrated - because the time series



Lt = yt - (a + b xt),


which is a linear combination of xt and yt , is a stationary time series ( ut ).

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Courses Using This Term

Forecasting Analytics
This course will teach you how to choose an appropriate time series model: fit the model, conduct diagnostics, and use the model for forecasting.
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