Events

The term “cointegration” was coined by Clive Grange in early 1980 when he studied long-term equilibrium relationships among two or more non-stationary time series. Grange won the Nobel Prize in Economics in 2003 for his work in this area.

In this talk we survey through a selection of the developments on cointegration, including Engle-Grange two-step method/error-correction models, Johansen’s method, nonlinear cointegration for two time series. We highlight the simple eigen-based method of Zhang, Robinson and Yao (2019, JASA, pp.916 –) under a much more general setting. We outline two open challenges: cointegration for spatial processes observed on an irregular grid, and nonlinear cointegration for multiple processes.