In econometrics, cointegration is a statistical property describing a long-run equilibrium relationship among two or more time series variables even when the individual series are themselves non-stationary. Cointegrated variables may drift apart in the short run, but a particular linear combination of them remains stationary, meaning the variables move together over time and stay bound by a stable equilibrium relationship.
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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).
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Granger's 1987 paper with Robert Engle formalized the cointegrating vector approach, and coined the term.
View the SourceClive Granger (Wikipedia)
Principal Result Of: Clive Granger, Life, Nobel workQuote, Principal Result Of: Clive Granger, Life, Nobel work
he developed the concept of cointegration
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