1. Education

Your suggestion is on its way!

An email with a link to:


was emailed to:

Thanks for sharing About.com with others!

<Back to Last Page>     <Full Glossary>

Definition of Cointegration: "An (n x 1) vector time series yt is said to be cointegrated if each of the series taken individually is ... nonstationary with a unit root, while some linear combination of the series a'y is stationary ... for some nonzero (n x 1) vector a."

Hamilton uses the phrasing that yt is cointegrated with a', and offers a couple of examples. One was that although consumption and income time series have unit roots, consumption tends to be a roughly constant proportion of income over the long term, so (ln income) minus (ln consumption) looks stationary. (Econterms)

Terms related to Cointegration:

About.Com Resources on Cointegration:

Writing a Term Paper? Here are a few starting points for research on Cointegration:

Books on Cointegration:

Journal Articles on Cointegration:

<Return to Main Page>

See More About

©2015 About.com. All rights reserved.