Engle Granger cointegration test
Posted: Sun Sep 04, 2011 10:41 am
Hi, there!
I want to analyze two series of returns on stock indices and to employ the Engle Granger procudure for it.
That is, I run the linear regression between them => save the residual => check it for stationarity.
My returns are stationary, I(0) - they are not integrated I(1)
Can I run the Engle Granger cointegration test in that case.
Could you please explain the steps?
Thanks!
I want to analyze two series of returns on stock indices and to employ the Engle Granger procudure for it.
That is, I run the linear regression between them => save the residual => check it for stationarity.
My returns are stationary, I(0) - they are not integrated I(1)
Can I run the Engle Granger cointegration test in that case.
Could you please explain the steps?
Thanks!