Definition of Cointegration. Meaning of Cointegration. Synonyms of Cointegration

Here you will find one or more explanations in English for the word Cointegration. Also in the bottom left of the page several parts of wikipedia pages related to the word Cointegration and, of course, Cointegration synonyms and on the right images related to the word Cointegration.

Definition of Cointegration

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Meaning of Cointegration from wikipedia

- 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...
- Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series. This test permits more than one...
- underlying variables have a long-run common stochastic trend, also known as cointegration. ECMs are a theoretically-driven approach useful for estimating both...
- cointegration relationship among variables implies distinguishing the positive and the negative effects of the error obtained from the cointegration regression...
- speaking, the strategy is to find a pair of stocks with high correlation, cointegration, or other common factor characteristics. Various statistical tools have...
- econometrician who is known for his contributions to the theory of cointegration. He is currently a professor at the Department of Economics, University...
- "Effects of International Remittances on the Philippine Economy: A Cointegration Analysis" (PDF). DLSU Business & Economics Review. 21 (2). De La Salle...
- most quoted paper, "Maximum likelihood estimation and inference on cointegration—with applications to the demand for money" has been quoted over 16000...
- detection of breaks in mean and variance at an unknown break point. For a cointegration model, the Gregory–Hansen test (1996) can be used for one unknown structural...
- the portfolios only consist of two stocks, one can attempt to find a cointegration irregularities between the two stock price series who generally show...