Список проголосовавших за комментарий "Ксения Кузнецова, сочинять? вы бы хотя бы для начала википедию проверили. <a href="/r.php?u=https%3A%2F%2Fen.wikipedia.org%2Fwiki%2FCointegration&s=3747672456">https://en.wikipedia.org/wiki/Cointegration</a><br/> Раз:<br/> The Engle-Granger method first constructs residuals (errors) based on the static regression.The residuals are tested for the presence of unit roots using ADF or a similar test. If the time series is cointegrated, then the <strong>residuals will be practically stationary</strong><br/> Два:<br/> 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 ) {\displaystyle I(1)} {\displaystyle I(1)}) but some (cointegrating) vector of coefficients exists to <strong>form a stationary linear combination</strong> of them. <br/> <br/> А разбирать что вы ни так поняли, в оригинальной статье, у меня нет столько времени."