Skip to content
Statistics logo
  • Courses
    • See All Courses
    • Calendar
    • Intro stats for college credit
    • Faculty
    • Group training
    • Credit & Credentialing
    • Teach With Us
  • Programs/Degrees
    • Certificates
      • Analytics for Data Science
      • Biostatistics
      • Programming For Data Science – Python (Experienced)
      • Programming For Data Science – Python (Novice)
      • Programming For Data Science – R (Experienced)
      • Programming For Data Science – R (Novice)
      • Social Science
    • Skillsets
      • Bayesian Statistics
      • Business Analytics
      • Healthcare Analytics
      • Marketing Analytics
      • Operations Research
      • Predictive Analytics
      • Python Analytics
      • R Programming Analytics
      • Rasch & IRT
      • Spatial Statistics
      • Survey Analysis
      • Text Mining Analytics
    • Undergraduate Degree Programs
    • Graduate Degree Programs
  • Partnerships
    • Higher Education
    • Enterprise
  • Resources
    • About Us
    • Blog
    • Word Of The Week
    • Newsletter signup
    • Glossary
    • Statistical Symbols
    • FAQs & Knowledge Base
    • Testimonials
    • Test Yourself
Menu
  • Courses
    • See All Courses
    • Calendar
    • Intro stats for college credit
    • Faculty
    • Group training
    • Credit & Credentialing
    • Teach With Us
  • Programs/Degrees
    • Certificates
      • Analytics for Data Science
      • Biostatistics
      • Programming For Data Science – Python (Experienced)
      • Programming For Data Science – Python (Novice)
      • Programming For Data Science – R (Experienced)
      • Programming For Data Science – R (Novice)
      • Social Science
    • Skillsets
      • Bayesian Statistics
      • Business Analytics
      • Healthcare Analytics
      • Marketing Analytics
      • Operations Research
      • Predictive Analytics
      • Python Analytics
      • R Programming Analytics
      • Rasch & IRT
      • Spatial Statistics
      • Survey Analysis
      • Text Mining Analytics
    • Undergraduate Degree Programs
    • Graduate Degree Programs
  • Partnerships
    • Higher Education
    • Enterprise
  • Resources
    • About Us
    • Blog
    • Word Of The Week
    • Newsletter signup
    • Glossary
    • Statistical Symbols
    • FAQs & Knowledge Base
    • Testimonials
    • Test Yourself
Student Login

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 ).

Browse Other Glossary Entries

Courses Using This Term

Loading...
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.
Return to Glossary Search

About Statistics.com

Statistics.com offers academic and professional education in statistics, analytics, and data science at beginner, intermediate, and advanced levels of instruction. Statistics.com is a part of Elder Research, a data science consultancy with 25 years of experience in data analytics.

Our Links

  • Contact Us
  • Site Map
  • Explore Courses
  • About Us
  • Management Team
Menu
  • Contact Us
  • Site Map
  • Explore Courses
  • About Us
  • Management Team

Social Networks

Contact

The Institute for Statistics Education
2107 Wilson Blvd
Suite 850 
Arlington, VA 22201
(571) 281-8817

ourcourses@statistics.com

  • Contact Us
  • Site Map
  • Explore Courses
  • About Us
  • Management Team

© Copyright 2022 - Statistics.com, LLC | All Rights Reserved | Privacy Policy | Terms of Use

By continuing to use this website, you consent to the use of cookies in accordance with our Cookie Policy.

Accept