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, seeCointegration and Error Correction Analysis.

Apps

Econometric Modeler

Analyze and model econometric time series

Functions

`egcitest`	Engle-Granger cointegration test
`jcitest`	Johansen cointegration test
`jcontest`	Johansen constraint test

Topics

Interactive

Econometric Modeler App Overview
The Econometric Modeler app is an interactive tool for visualizing and analyzing univariate or multivariate time series data.
Conduct Cointegration Test Using Econometric Modeler App
Interactively test series for cointegration by using the Engle-Granger cointegration test and the Johansen cointegration test.

Programmatic

Cointegration and Error Correction Analysis
Learn about cointegrated time series and error correction models.
Identifying Single Cointegrating Relations
The Engle-Granger test for cointegration and its limitations.
Test for Cointegration Using the Engle-Granger Test
Test the null hypothesis that there are no cointegrating relationships among the response series composing a multivariate model.
Identifying Multiple Cointegrating Relations
Learn about the Johansen test for cointegration.
Test for Cointegration Using the Johansen Test
Assess whether a multivariate time series has multiple cointegrating relations using the Johansen test.
Compare Approaches to Cointegration Analysis
Compare Johansen and Engle-Granger approaches to cointegration analysis.
Testing Cointegrating Vectors and Adjustment Speeds
Learn testing linear constraints on cointegrating relations and adjustment speeds about using the Johansen framework.
Test Cointegrating Vectors
Conduct tests on cointegrating vectors.
Test Adjustment Speeds
Conduct tests on adjustment speeds.
Determine Cointegration Rank of VEC Model
Compute and interpret the cointegration rank of a VEC model.
Estimate VEC Model Parameters Using egcitest
Estimate the parameters of a VEC model.
Estimate VEC Model Parameters Using jcitest
Produce maximum likelihood estimates of VEC model coefficients under the rank restrictions on the cointegrating matrix.