Cointegration

Cointegration is a statistical property of time series variables. Two or more time series are cointegrated if they share a common stochastic drift. ==Introduction== If two or more series are individually integrated (in the time series sense) but some linear combination of them has a lower order of integration, then the series are said to be cointe...
Found on http://en.wikipedia.org/wiki/Cointegration

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 ...
Found on http://www.econterms.com/glossary.cgi?query=cointegration

cointegration

(from the article `Granger, Clive W.J.`) ...one. Fundamental to his methods was his discovery that a specific combination of two or more nonstationary time series could be stationary, a ...
Found on http://www.britannica.com/eb/a-z/c/107
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