Cointergration - what is the process?

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ConfusedaboutEViews
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Joined: Mon Sep 14, 2015 11:14 pm

Cointergration - what is the process?

Postby ConfusedaboutEViews » Sat May 13, 2017 8:31 am

Hi all,

I have 2 time series & I need to determine whether they are cointergrated. I know that both series are I(1) but I am unsure of what the next step is?
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EViews Mirza
Posts: 80
Joined: Sat Apr 22, 2017 8:23 pm

Re: Cointergration - what is the process?

Postby EViews Mirza » Sun May 14, 2017 9:14 am

You need to run a test for cointegration; either Engle-Granger, Johansen, or ARDL (Bounds Test).
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