A note on cointegrated relationships estimated with genetic algorithms

Estimation techniques based on Genetic Algorithms (GA) have been studied in the presence of cointegrated variables. Several applications of GA to time-series have ignored the fact that the equation estimated by GA might be spurious. In this line, in this study it is shown that: (1) GA robustly detects this kind of relationship when the process contains a linear cointegrated relationship, (2) estimated models provide real fitness instead of spurious fitness. The well known cointegrated relation between income and consumption is estimated using GA.