**Cointegration**

**Definition of Cointegration:**
"An (n x 1) vector time series **y**_{t} 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 **y**_{t} 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)

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