kointegratsioon

Kointegratsioon is a statistical concept used in econometrics and time series analysis to describe a long-term equilibrium relationship between multiple non-stationary time series. It is particularly useful in the analysis of economic data, where variables often exhibit trends or other forms of non-stationarity.

The concept of kointegratsioon was introduced by Clive W.J. Granger in 1981. It builds upon the idea of cointegration, which was first proposed by Granger in 1969. Cointegration is a property of a set of non-stationary time series that move together in the long run, despite their individual non-stationary behavior. This means that while each time series may exhibit trends or other forms of non-stationarity, their linear combination is stationary.

The key idea behind kointegratsioon is that if two or more time series are cointegrated, they share a common stochastic trend. This common trend allows for the construction of a linear combination of the time series that is stationary. The number of such linear combinations is equal to the number of cointegrating relationships, which is known as the cointegration rank.

Kointegratsioon is widely used in econometrics for various purposes, including the construction of vector error correction models (VECMs), which are used to model and forecast economic variables. It is also used in the analysis of financial time series, such as stock prices and exchange rates, to identify and exploit long-term relationships between variables.

In summary, kointegratsioon is a powerful tool in econometrics and time series analysis for identifying and exploiting long-term relationships between non-stationary time series. It allows for the construction of stationary linear combinations of time series, which can be used for modeling, forecasting, and other analytical purposes.