Statistical property of collections of time series data
Cointegration is a statistical property of a collection (X1, X2, ..., Xk) of time series variables. First, all of the series must be integrated of order d (see Order of integration). Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order d, and there exist coefficients a,b,c such that aX + bY + cZ is integrated of order less than d, then X, Y, and Z are cointegrated. Cointegration has become an important property in contemporary time series analysis. Time series often have trends—either deterministic or stochastic. In an influential paper,[1] Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series (like GNP, wages, employment, etc.) have stochastic trends.
^Nelson, C.R; Plosser, C.I (1982). "Trends and random walks in macroeconomic time series". Journal of Monetary Economics. 10 (2): 139–162. doi:10.1016/0304-3932(82)90012-5.
Cointegration is a statistical property of a collection (X1, X2, ..., Xk) of time series variables. First, all of the series must be integrated of order...
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a PhD in Economics in 2003, with the dissertation titled Essays in Cointegration Analysis. Omtzigt was a researcher at the University of Insubria (Varese...
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most quoted paper, "Maximum likelihood estimation and inference on cointegration—with applications to the demand for money" has been quoted over 16000...
S.; Kim, In-Moo (1998). "Issues in Unit Root Testing". Unit Roots, Cointegration, and Structural Change. Cambridge: Cambridge University Press. pp. 98–154...
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