Cointegration: Develop models containing cointegrating relations
| Date | Contributor | Description | Rating |
|---|---|---|---|
| 8 Dec 2011 | Stuart Kozola |
Cointegration is an analytic technique for testing for common trends in multivariate time series and modeling long-run and short-run dynamics. Two or more predictive variables in a time-series model are cointegrated when they share a common stochastic drift. Variables are considered cointegrated if a linear combination of them produces a stationary time series. Check out the topic on pairs trading! |
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| Tag | Applied By | Date/Time |
|---|---|---|
| econometrics | Stuart Kozola | 8 Dec 2011 at 1:43pm |
| johansen test | Stuart Kozola | 8 Dec 2011 at 1:43pm |
| engle-granger | Stuart Kozola | 8 Dec 2011 at 1:43pm |
| cointegration | Stuart Kozola | 8 Dec 2011 at 1:43pm |