Cointegration
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 1 (see Order of Integration). Next, if a linear combination of this collection is integrated of order zero, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order 1, and there exist coefficients a,b,c such that aX+bY+cZ is integrated of order 0, 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, Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series (like GNP, wages, employment, etc.) h
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Cointegration
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 1 (see Order of Integration). Next, if a linear combination of this collection is integrated of order zero, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order 1, and there exist coefficients a,b,c such that aX+bY+cZ is integrated of order 0, 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, Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series (like GNP, wages, employment, etc.) h
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Cointegration is a statistical ...... methods do not apply to them.
@en
Das Konzept der Kointegration ...... ed Nobel ausgezeichnet worden.
@de
Kointegracja - własność szereg ...... rangera oraz metoda Johansena.
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La cointegración es una estadí ...... a tendencia estocástica común.
@es
La cointégration est une propr ...... ntégrées d'ordre (1,1) : , ~ .
@fr
Коинтеграция — свойство нескол ...... тегрированным временным рядам.
@ru
共和分(きょうわぶん、英: cointegration)とは ...... らの系列に適用することは出来ないということが明らかとなった。
@ja
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Cointegration is a statistical ...... NP, wages, employment, etc.) h
@en
Das Konzept der Kointegration ...... ewicht wiederhergestellt wird.
@de
Kointegracja - własność szereg ...... iedzinie ekonomii w 2003 roku.
@pl
La cointegración es una estadí ...... a tendencia estocástica común.
@es
La cointégration est une propr ...... ntégrées d'ordre (1,1) : , ~ .
@fr
Коинтеграция — свойство нескол ...... гл, Йохансен, Филипс и другие.
@ru
共和分(きょうわぶん、英: cointegration)とは ...... らの系列に適用することは出来ないということが明らかとなった。
@ja
label
Cointegración
@es
Cointegration
@en
Kointegracja
@pl
Kointegration
@de
Modèle de cointégration
@fr
Коинтеграция
@ru
共和分
@ja