This paper describes how the notion of cointegration came about, and discusses some generalizations to indicate where the topic may go next. In particular, some issues in the analysis of possibly cointegrated quantile time series are discussed.

We consider the problem of obtaining appropriate weights for averaging M approximate (misspecified) models for improved estimation of an unknown conditional mean in the face of non-nested model uncertainty in heteroskedastic error settings. We propose a “jackknife model averaging” (JMA)...