概念
各自含单位根的序列，其线性组合平稳。
📌 一览
- 检验
- Engle-Granger、Johansen
- 模型
- ECM、VECM
意义
既避免伪回归，又保留长期信息。
常用“醉汉与狗”比喻（Murray, 1994）。各自乱走，但两者距离是平稳的。
常见问题
- 相关性高就是协整吗？
- 不是。
参考文献
- Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.
- Granger, C. W. J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111–120.
- The Royal Swedish Academy of Sciences (2003). The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003 (nobelprize.org).
- Murray, M. P. (1994). A drunk and her dog: An illustration of cointegration and error correction. The American Statistician, 48(1), 37–39.