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Definition of "cointegration" [cointegration]

  • The condition of two non-stationary time series whose linear combination is stationary (noun)

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Use "cointegration" in a sentence
  • "Today, cointegration is a central aspect in time series analysis in economics."
  • "He minted the term cointegration to describe such systems and demonstrated that cointegration provides a key to reliable statistical inference."
  • "Granger minted the term cointegration for a stationary combination of nonstationary variables."