True love in Econometrics term
Once upon a time, there was a pretty lady called x, walking randomly down the street, carrying a unit root in her purse, all of sudden, she ran into a man called y, also having a random walk in the same street with a unit root in his pocket. Thanks to the common trend (street), they cointegrated (fall in love). Sometimes, they seperated with each other due to the stochastic shocks in their relationship, but they always got back together since they had a relationship which was super consistent. They had two friends Engle and Grange, who envied them and want to test their cointegration. However, no matter what tests they run, they still cannot reject their conintegration. Thus, their relationship is not spurious!!! Say yes to true love!!!
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