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Cointegration Test/Evidence
Method evidence record

Cointegration Test

The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988).

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Cointegration Test (Johansen / Engle-Granger)
Taxonomic method record · regression-model / econometrics
  • Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. · DOI 10.1016/0165-1889(88)90041-3
  • Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. · DOI 10.2307/1913236
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyGranger Causalitymachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.Same method familyVECMmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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