Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Cointegration is a statistical property of time series variables. Two or more time series are cointegrated if they each share a common type of stochastic drift: that is, to a limited degree they share a certain type of behaviour in terms of their long-term fluctuations, but they do not necessarily move together and may be otherwise unrelated. If two or more series are individually integrated (in the time series sense) but some linear combination of them has a lower order of integration, then the series are said to be cointegrated. A common example is where the individual series are first-order integrated (I(1)) but some (cointegrating) vector of coefficients exists to form a stationary linear combination of them. For instance, a stock market index and the price of its associated futures contract move through time, each roughly following a random walk. Testing the hypothesis that there is a statistically significant connection between the futures price and the spot price could now be done by testing for the existence of a cointegrated combination of the two series.

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