Time Series Analysis, Cointegration, and Applications

The two prize winners in Economics this year
would describe themselves as "Econometricians,"
so I thought that I should start by explaining
that term.
One can begin with the ancient subject of
Mathematics which is largely concerned with
the discovery of relationships between deterministic
variables using a rigorous argument. (A
deterministic variable is one whose value is
known with certainty.) However, by the middle
of the last millennium it became clear that some
objects were not deterministic, they had to be
described with the use of probabilities, so that
Mathematics grew a substantial subfield known
as "Statistics." This later became involved with
the analysis of data and a number of methods
have been developed for data having what may
be called "standard properties."
However, in some areas of application, the
data that they generated were found to be not
standard, and so special sub-subfields needed to
be developed. For example, Biology produced
Biometries, Psychology gave us Psychometrics,
and Economics produced Econometrics.