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Statistical property of collections of time series data
In econometrics, cointegration is a statistical property that describes a long-run equilibrium relationship among two or more time series variables, even
Cointegration
In statistics and econometrics, asymmetric cointegration describes a long-term relationship between variables where positive and negative shocks to the
Asymmetric_cointegration
Time series statistical test
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
Johansen_test
Type of time series model
underlying variables share a long-run stochastic trend, a property known as cointegration. ECMs provide a theoretically grounded framework for estimating both
Error_correction_model
Danish Statistician and Econometrician (born 1939)
econometrician who is known for his contributions to the theory of cointegration. He is currently a professor at the Department of Economics, University
Søren_Johansen
Econometric term
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
Structural_break
Resources used in the production process
individual factor of production, with an elasticity larger than labor. A cointegration analysis support results derived from linear exponential (LINEX) production
Factors_of_production
Finnish economist
most quoted paper, "Maximum likelihood estimation and inference on cointegration—with applications to the demand for money" has been quoted over 16000
Katarina_Juselius
Archipelagic country in Southeast Asia
"Effects of International Remittances on the Philippine Economy: A Cointegration Analysis" (PDF). DLSU Business & Economics Review. 21 (2). De La Salle
Philippines
Short-term financial trading strategy
speaking, the strategy is to find a pair of stocks with high correlation, cointegration, or other common factor characteristics. Various statistical tools have
Statistical_arbitrage
Trading strategy
the portfolios only consist of two stocks, one can attempt to find a cointegration irregularities between the two stock price series who generally show
Pairs_trade
Financial term
businesses. Regression toward the mean Autocorrelation Convergence trade Cointegration Pairs trade Ornstein–Uhlenbeck process Trend following Gambler's fallacy
Mean_reversion_(finance)
Exchange rate of a currency on a future date
well-recognized puzzle among finance researchers. Empirical evidence for cointegration between the forward rate and the future spot rate is mixed. Researchers
Forward_exchange_rate
Study of collection and analysis of data
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Statistics
Interpretation of probability
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Bayesian_probability
American econometrician and professor
Economics from Columbia University, writing his dissertation on Panel Cointegration, Endogenous Growth and Business Cycles in Open Economies. Between 1997
Peter_Pedroni
British economist
pricing and empirical finance. His contribution to the ARDL model for the cointegration analysis with Mohammad Hashem Pesaran was introduced in the Cambridge
Yongcheol_Shin
Type of bar chart
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Tornado_diagram
British econometrician (born 1944)
105, 1622–1636. Campos, J., N.R. Ericsson, and D.F. Hendry (1996). "Cointegration tests in the presence of structural breaks." Journal of Econometrics
David_Forbes_Hendry
Experiment methodology
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
A/B_testing
corruption and income inequality in U.S. states: evidence from a panel cointegration and error correction model". Public Choice. 145 (1): 125–135. doi:10
List of U.S. states and territories by income inequality
List_of_U.S._states_and_territories_by_income_inequality
Idea that the construction of skyscrapers predicts an economic crash
growth using the time series techniques of vector autoregression and cointegration tests. They investigate the time series relationship between the tallest
Skyscraper_Index
Tendency for consumer prices to be systematically higher in more developed countries
researchers. The sector approach combined with panel data analysis and/or cointegration has become a benchmark for empirical tests. Consensus has been reached
Balassa–Samuelson_effect
Probabilistic problem-solving algorithm
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Monte_Carlo_method
Microprocessor with more than one processing unit
parallelization of software is a significant ongoing topic of research. Cointegration of multiprocessor applications provides flexibility in network architecture
Multi-core_processor
Statistical relationship
Autocorrelation Canonical correlation Coefficient of determination Cointegration Concordance correlation coefficient Cophenetic correlation Correlation
Correlation
Type of graph used in research
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Funnel_plot
Distribution of an uncertain quantity
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Prior_probability
Japanese economist (born 1958)
(5): 1271–1275. JSTOR 2006778. Ogaki, Masao (1992). "Engel's Law and Cointegration". Journal of Political Economy. 100 (5): 1027–1046. doi:10.1086/261850
Masao_Ogaki
Statistical hypothesis test
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
F-test
Statistical method
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Factor_analysis
Statistical property
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Standard_error
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Contraharmonic_mean
Middle quantile of a data set or probability distribution
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Median
Global stock market crash
Bwo-Nung; Yang, Chin-Wei; Hu, John Wei-Shan (2000). "Causality and Cointegration of Stock Markets among the United States, Japan and the South China
Black_Monday_(1987)
Numeric quantity representing the center of a collection of numbers
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Mean
Statistical measure of how far values spread from their average
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Variance
Phase of clinical research in medicine
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Clinical_trial
Time series statistical test
JSTOR 3585053. Dolado, J. J.; Jenkinson, T.; Sosvilla-Rivero, S. (1990). "Cointegration and Unit Roots". Journal of Economic Surveys. 4 (3): 249–273. doi:10
Dickey–Fuller_test
Statistic which divides a data set into 100 parts and analyzes it as a percentage
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Percentile
Selection of data points in statistics
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Sampling_(statistics)
Tools to represent statistical uncertainty
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Confidence and prediction bands
Confidence_and_prediction_bands
Social science studying goods and services
with national variation. Economics portal Society portal Asymmetric cointegration Critical juncture theory – Theory of large, discontinuous changes Democracy
Economics
British economist and Nobel laureate (1934–2009)
and others. Working with Robert Engle, he developed the concept of cointegration, introduced in a 1987 joint paper in Econometrica; for which he was
Clive_Granger
Measure of variation in statistics
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Standard_deviation
American economist, educator, writer and investor
Kolm (2006). Financial Modeling of the Equity Market: From CAPM to Cointegration. Hoboken, New Jersey: John Wiley & Sons. Fabozzi, Frank J.; Henry Davis;
Frank_J._Fabozzi
Range to estimate an unknown parameter
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Confidence_interval
European colonization of Africa's Congo Basin
Tedika et Francklin Kyayima Muteba, The sources of growth in DRC before independence. A cointegration analysis, CRE Working paper, n°02/10, juin 2010
Colonization of the Congo Basin
Colonization_of_the_Congo_Basin
Statistical considerations on how many observations to make
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Sample_size_determination
Set of statistical processes for estimating the relationships among variables
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Regression_analysis
International petroleum organization
December 2022. Gülen, S. Gürcan (1996). "Is OPEC a Cartel? Evidence from Cointegration and Causality Tests" (PDF). The Energy Journal. 17 (2): 43–57. Bibcode:1996EnerJ
OPEC
Statistical quantity
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Nonparametric_skew
Statistical method
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Matching_(statistics)
Statistical technique to aid interpretation of data
One of the alternative approaches involves unit root tests and the cointegration technique in econometric studies. The estimated coefficient associated
Linear_trend_estimation
Time series model
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Autoregressive conditional heteroskedasticity
Autoregressive_conditional_heteroskedasticity
Measure of statistical dispersion
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Interquartile_range
Statistical method that summarizes and/or integrates data from multiple sources
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Meta-analysis
Scientific procedure performed to validate a hypothesis
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Experiment
Nonparametric test of the null hypothesis
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Mann–Whitney_U_test
with common trends (cointegration)" University of Nottingham (PhD, statistics) University of California, San Diego Cointegration, Granger causality 2004
List of Nobel Memorial Prize laureates in Economic Sciences
List_of_Nobel_Memorial_Prize_laureates_in_Economic_Sciences
Statistical distribution for dependence between random variables
April 2016). "The profitability of pairs trading strategies: distance, cointegration and copula methods". Quantitative Finance. 16 (10): 1541–1558. doi:10
Copula_(statistics)
Ways of computing statistical significance
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
One-_and_two-tailed_tests
Economies of South Korea, Taiwan, Singapore and Hong Kong
and Singapore for the period between 1979 and 2009, using Johansen cointegration tests and vector error correction models. The results suggest that in
Four_Asian_Tigers
Concepts from statistical hypothesis testing
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Type_I_and_type_II_errors
Statistical sampling technique
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Latin_hypercube_sampling
Statistical methods for comparing samples
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Two-proportion_Z-test
Statistical hypothesis test for forecasting
Retrieved 2 April 2022. Granger, Clive W. J. (2004). "Time Series Analysis, Cointegration, and Applications" (PDF). American Economic Review. 94 (3): 421–425
Granger_causality
Data visualization
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Box_plot
Experimental design in statistical mathematics
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Central_composite_design
Type of average of a collection of numbers
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Arithmetic_mean
Parametric model in survival analysis
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Accelerated failure time model
Accelerated_failure_time_model
Statistic measuring inter-rater agreement for categorical items
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Cohen's_kappa
Graphical representation of the distribution of numerical data
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Histogram
Relative measure of dispersion expressed as the ratio of standard deviation to the mean
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Coefficient_of_variation
Statistical test
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Ljung–Box_test
Apparent lack of pattern or predictability in events
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Randomness
Statistical hypothesis test
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Chi-squared_test
Numerical measure of a statistical relationship between variables
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Correlation_coefficient
Circular statistical graph of proportionality
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Pie_chart
Measure of linear correlation
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Pearson correlation coefficient
Pearson_correlation_coefficient
Study of survey methods
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Survey_methodology
How many standard deviations apart from the mean an observed datum is
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Standard_score
Modeling financial systems
Kolm (2004). Financial Modeling of the Equity Market: From CAPM to Cointegration. Hoboken, NJ: Wiley. ISBN 0-471-69900-4. Shayne Fletcher; Christopher
Financial_modeling
Variable representing a random phenomenon
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Random_variable
growth, energy and financial development on the environment in China: a cointegration analysis". Energy Economics, 33 (2). pp. 284–291. ISSN 0140-9883 (doi:10
Economy_of_China
Experiment in which information about the test is masked to reduce bias
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Blinded_experiment
Statistical methods to improve the quality of manufactured goods
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Taguchi_methods
Non-parametric statistical test
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Friedman_test
Dutch former politician (born 1974)
a PhD in Economics in 2003, with the dissertation titled Essays in Cointegration Analysis. Omtzigt was a researcher at the University of Insubria (Varese
Pieter_Omtzigt
Statistical interpretation with many tests
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Multiple_comparisons_problem
Compilation of information about a given population
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Census
Analysis of math functions with respect to time
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Time_domain
Probability distribution of the possible sample outcomes
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Sampling_distribution
Statistical measure to determine how suited data is for factor analysis
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Kaiser–Meyer–Olkin_test
Kth smallest value in a statistical sample
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Order_statistic
Design of tasks
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Design_of_experiments
Tax based on taxable income
Bolívar, Miriam Adriana (2014). Tax elasticity in Venezuela: A dynamic cointegration approach (PDF). XIX Meeting of the Central Bank Researchers Network
Income_tax
Method of plotting numeric data
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Violin_plot
Statistical test comparing two probability distributions
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Kolmogorov–Smirnov_test
Test of normality in frequentist statistics
Decomposition Trend Stationarity Seasonal adjustment Exponential smoothing Cointegration Structural break Granger causality Specific tests Dickey–Fuller Johansen
Shapiro–Wilk_test
COINTEGRATION
COINTEGRATION
COINTEGRATION
COINTEGRATION
Boy/Male
Tamil
Tasty
Male
Arthurian
, (man?); a son of king Arthur.
Female
English
English name AMITY means "friendship."
Boy/Male
Hindu, Indian, Tamil
From the East
Girl/Female
Hindu
Red lotus flower
Boy/Male
Indian, Sanskrit
Destroyer of Foes
Girl/Female
Christian & English(British/American/Australian)
Princess
Male
Egyptian
, possibly Gk. for Harsiesi (Horus, Son of Isis).
Female
Hindi/Indian
Feminine form of Hindi Lalit, LALITA means "desirable" or "playful."Â
Boy/Male
Indian
Good Knowledge
COINTEGRATION
COINTEGRATION
COINTEGRATION
COINTEGRATION
COINTEGRATION