| 单词 | cointegration |
| 释义 | cointegration The property of a set of time-series, that a linear combination of them exists which is of a lower order of integration than the highest-order series in the set. For example, two series which are [sc]i[/sc](1), that is of order of integration 1, are cointegrated if one can be expressed as a linear function of the other(s) plus a stationary time series disturbance term. If a set of variables are cointegrated, the effects of a shock to one variable spread to the others, possibly with time lags, so as to preserve a long-run relation between the variables. |
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