In a posthumously published paper, Clive Granger discusses the evolution of the idea of cointegration. It turns out that his famous 1987 paper with Engel in Econometrica was rejected twice (without an invitation to resubmit). The first version was sole authored. The second one was dual authored "but it was also rejected for not being sufficiently original"! That's one of the papers that won Engel and Granger the Nobel Prize in Economics. Eventually, the editor of Econometrica wrote to Granger and asked him to resubmit it because they were receiving other papers on cointegration!
The moral is, just because a journal rejects your paper, it doesn't mean it isn't any good.
Also of interest is another paper exploring the history of cointegration in the same issue of J. Econometrics by Boswijk et al.
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