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Engle-Granger Cointegration Test

The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment.

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Engle-Granger Two-Step Cointegration Test

Taxonomický záznam metódy · regression-model / econometrics

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
Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press. · ISBN 978-0691042893

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