Cointegrated

Part of speech: adjective, verb

Definitions

1. Describing two or more non-stationary time series that share a long-term equilibrium relationship despite being individually unpredictable
2. Characterizing a statistical property in econometrics where variables move together over time, maintaining a consistent linear combination even if they drift separately
3. Referring to variables whose individual trends cancel out when combined, indicating a stable and meaningful association across time series data

Etymology: "Cointegrated" is a technical coinage from econometrics and statistics, built plainly from the prefix "co-", meaning "together" or "jointly", attached to "integrated". The "integrated" part is the key: in time series analysis, a series is called integrated of order d if it must be differenced d times to become stationary. A random-walk price series, for instance, is integrated of order one, because taking its period-to-period changes yields a stationary series. The compound describes what happens when two or more such non-stationary series are each integrated but some linear combination of them is stationary. Their individual wandering trends cancel out in the combination, leaving a stable long-run relationship. The word therefore names a property of the group of series rather than of any single one, which is why the prefix matters: it marks a joint condition, not a separate kind of integration.

Synonyms: integrated, combined, linked, connected, joined

Antonyms: separated, disintegrated, isolated, disjoined, disconnected