Glossary of economics research
Results of search for cointegration follow:
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 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.
Source: Hamilton, p. 571
Contexts: econometrics; time series; data
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