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Cointegration

In econometrics, cointegration is a statistical property that describes a long-run equilibrium relationship among two or more time series variables, even if the individual series are non-stationary (i.e., they contain stochastic trends). In such cases, the variables may drift in the short run, but their linear combination is stationary, implying that…

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Cointegration

Nodes31
Edges30
Triples53
Avg. degree1.94
Density0.064516
Components1

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Cointegration

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related to Further reading · 27
Cointegration → An, An Illustration, Applied Econometrics Time Series, Cambridge University Press, Dog, Drunk, Econometrics, Enders, Error Correction, Error-Correction Models, Fumio, Hayashi, In-Moo, ISBN, Kim, Maddala, Michael, Murray, New York, PDF
related to Phillips–Ouliaris cointegration test · 9
Cointegration → Because, Dickey, Fuller, In, Ouliaris, Peter, Phillips, Sam Ouliaris, These
related to Johansen test · 6
Cointegration → ARDL, Auto Regressive Distributed Lags, Engle, Granger, If, The Johansen
related to Variable shifts in long time series · 5
Cointegration → In, Tests, The, This, To
is a · 2
Cointegration → crucial concept in time series analysis, statistical property that describes a long-run equilibrium relationship among two or more time series variables
related to Multicointegration · 2
Cointegration → In, Multicointegration
related to Tests · 1
Cointegration → The
see also · 1
Cointegration → Error

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Important terminology

series time displaystyle variables integrated stationary relationship two linear cointegrated order cointegrating regression combination trends test tests granger non-stationary spurious

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SubjectPredicateObjectConfidenceSrc
Cointegrationis astatistical property that describes a long-run equilibrium relationship among two or more time series variables0.90text
Cointegrationis acrucial concept in time series analysis0.90text
Cointegrationrelated to Further readingEnders0.60section
Cointegrationrelated to Further readingWalter0.60section
Cointegrationrelated to Further readingError-Correction Models0.60section
Cointegrationrelated to Further readingApplied Econometrics Time Series0.60section
Cointegrationrelated to Further readingSecond0.60section
Cointegrationrelated to Further readingNew York0.60section
Cointegrationrelated to Further readingWiley0.60section
Cointegrationrelated to Further readingISBN0.60section
Cointegrationrelated to Further readingHayashi0.60section
Cointegrationrelated to Further readingFumio0.60section

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