*versus*

Drownings by Falling into a Swimming Pool

_{From: tylervigen.com.}

11 March, 2016

Drownings by Falling into a Swimming Pool

_{From: tylervigen.com.}

Standard statistical methods applied to general time series might not work.

Cointegration extends regression methods to cover more cases.

I'll talk about implementation of solution methods.

I(0) time series are formally expressed

A series x_{t} is called I(1) if

The I(1) vector x_{t} is *cointegrated* if there exists a vector Î² such that

Simplified. The VECM extends this.

The I(1) series x_{t} has cointegration rank 1 if

Require each series to be I(1).

^{Î±, Î² full column rank}