Economic theory holds that there is a long-term equilibrium relationship in some economic time series. For example, the relationship between net income and consumption, government expenditure and taxes, wages and prices, imports and exports, money flow and price level, commodity current price and futures price. Generally speaking, the above-mentioned economic time series belongs to non-stationary series, and its variance is proportional to time t. It seems that there will be no equilibrium relationship between these economic variables, but in fact some linear combination of several non-stationary economic time series may be stationary series. Granger keenly noticed this phenomenon and put forward the concept and method of "cointegration" by using his solid foundation of mathematics and econometrics. The so-called "cointegration" means that some linear combination of several non-stationary economic variables is stable. At present, cointegration analysis has become an effective method to deal with the correlation of non-stationary financial and economic variables.