Construct · 1 fields · 3 citations

cointegration: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaningGranger causalitycompare the meanings
How to read this

Every construct on the map is compared with every other by the meaning of its definitions, and the closest one is surfaced here. The nearest construct to cointegration is Granger causality.

Hold this as a prompt, not a verdict. Two constructs sitting close in meaning is a reason to read them side by side and decide for yourself whether they are one idea under two names. It is not proof that they are. Compare the meanings in the Collider.

cointegration1 CONSTRUCTCointegrationGRANGER · LONG-RUN TREND

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Econometrics

A shared long-run trend that tethers drifting time series together

Clive Granger's 1981 paper Some properties of time series data and their use in econometric model specification introduced the idea that two economic series which each wander without settling to a fixed level, a property called non-stationarity, can still share a common long-run path, and Robert Engle and Granger's 1987 Econometrica paper gave the property its name and its statistical machinery, work recognised by the 2003 Nobel Memorial Prize in economic sciences. Two or more non-stationary series are cointegrated when some weighted combination of them is stationary, meaning it fluctuates around a stable level: although each series drifts freely on its own, they cannot drift apart without limit, because they are held together by a shared long-run trend. Because the separate series are non-stationary while their combination is not, an ordinary regression between them can appear strongly related when it is not, and cointegration analysis is built to distinguish that false signal from a genuine long-run relationship. Sören Johansen's 1991 procedure extended the two-series case to systems of several series and remains a standard way to identify how many long-run relationships a set of series shares. The construct is a landmark of modern time-series econometrics because it makes the long-run comovement of drifting series a testable, measurable object rather than an assumption.[1][2][3]

Unit
A statistical property of a set of non-stationary time series: a weighted combination of them that is itself stationary
Recovery means
Not applicable
Measured by
Identified with residual-based tests such as the Engle and Granger two-step procedure, or the system-based Johansen procedure, which check whether a stationary linear combination of the series exists and how many such combinations there are

Next

Run it through the Collider, or take the citations with you.

See how cointegration sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in ColliderExport BibTeXReport this entry

Nearby constructs

regression4 fields · 5 citationsjingle · one word, four constructsequilibrium4 fields · 4 citationsjingle · one word, four constructscorrelation4 fields · 4 citationsjingle · one word, four constructs

References

  1. Granger, C. W. J. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121–130. https://doi.org/10.1016/0304-4076(81)90079-8
  2. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
  3. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. https://doi.org/10.2307/2938278

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct