Definitions
from Wiktionary, Creative Commons Attribution/Share-Alike License.
- noun mathematics The condition of two non-stationary
time series whoselinear combination isstationary
Etymologies
from Wiktionary, Creative Commons Attribution/Share-Alike License
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Examples
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Today, cointegration is a central aspect in time series analysis in economics.
The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1969-2006 2010
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He minted the term cointegration to describe such systems and demonstrated that cointegration provides a key to reliable statistical inference.
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Granger minted the term cointegration for a stationary combination of nonstationary variables.
The Prize in Economics 2003 - Information for the Public 2003
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Granger has instead developed and applied new statistical methods, based on so-called "cointegration", to differentiate between, and combine the analysis of, short-term fluctuations and long-term trends.
The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1969-2006 2010
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The idea is called "cointegration" and provides ways to discover that two large boats are drifting with the same current or that two macroeconomies are moving together.
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The NY Times piece does an absolute hatchet job to the concept of non-stationarity and cointegration and incorrectly asserts that Robert Engle was awarded the nobel prize for his work on cointegration.
Clive Granger 2009
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For methods of analyzing economic time series with common trends (cointegration)
The Prize in Economic Sciences In Memory of Alfred Nobel 2010
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It links to another article “Econometrics vs Climate Science” Note 3 saying QUOTE: What physical mechanism is responsible for the dominant 65 year trend is not known, but the cointegration analysis paper we previously examined says that is not greenhouse gas levels—CO2 is not driving Earth's temperature change UNQUOTE.
Too bad to be believed EliRabett 2010
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In terms of cointegration, if the second difference had a unit root, then it would be I3 or higher and it would be even worse.
Idiots Delight EliRabett 2010
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But I'm not an expert on cointegration so it's just my opinion.
Idiots Delight EliRabett 2010
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