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Cointegration Analysis

Engle-Granger cointegration test, and Johansen cointegration and constraint tests

The multivariate time series model you choose to describe your data depends on whether there are cointegrating relations among the response series. For more details, see Cointegration and Error Correction Analysis.

Apps

Econometric ModelerAnalyze and model econometric time series

Functions

egcitestEngle-Granger cointegration test
jcitestJohansen cointegration test
jcontest Johansen constraint test

Topics

Interactive

Programmatic