*Cointegration* (Engle and Granger, 1987) is an econometric technique for testing the relationship between non-stationary time series variables. If two or more series each have a unit root, that is *I*(1), but a linear combination of them is stationary, *I*(0), then the series are said to be cointegrated.

For example, a stock market index and the price of its associated futures contract, whilst both following a random walk, will be in a long-run equilibrium and deviations from this equilibrium will be stationary.

Robert Engle and Clive Granger shared the 2003 Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, the latter's portion due to his contribution to the development of cointegration.

Sewell (2006)

- Amazon.com: Books Search Results: cointegration
- "Market Models: A Guide to Financial Data Analsis" by Carol Alexander, 2001, John Wiley & Sons, Ltd
- "Pairs Trading: Quantitative Methods and Analysis" by Ganapathy Vidyamurthy, 2004, John Wiley & Sons, Inc.

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