Cointegration relations - What is the intuition? Cointegration relations - What is the intuition behind it? How can I find them?
 A: I find a constructive example easier than deductive ones, so here it is.
Suppose there is a unit-root process $x_t$. It could be the price of a company's share on a stock exchange, for example. Suppose you hold that share, and your friend holds another one. Let the price of your friend's holding be $y_t$ where obviously $y_t=x_t$. 
Meanwhile, some other guy believes the company is going to fail, so he has short-sold two shares. (Simply put, short-selling is like holding the negative of them.) The price of his holding is denoted $z_t$ where $z_t:=-2x_t$, but you could also say that $z_t=-x_t-y_t$ or $z_t=-2y_t$. 
Now if you all team up, the price of the total holding is $x_t+y_t+z_t=0$. You see that while each of the individual holdings was a unit-root process, the total holding is stationary (what can be more stationary than a constant). When that happens, we say there is cointegration: there exists a stationary combination of several unit-root processes. (This can be expanded to higher orders of integration etc., but the basic intuition does not change.)
