How long does cointegration last?
The correct answer is ‘so long as the conditions that underwrote the relationship in the first place continue to prevail’.
Not entirely satisfying but cointegration is a linear association between multiple time series and most prone to break when a shock occurs. Shocks (excluding calendar events such as earnings announcements) tend to be unheralded.
However, for entertainment value the question can be answered with a high degree of statistical confidence. This Google Book preview link to Professor John D. Barrow’s entertaining book “100 Essential Things You Didn’t Know You Didn’t Know” explains.
The moral, maybe, is that statistical confidence is not the only consideration to take account of in decision-making!
