Cointegration or Long Run Regression
Cointegration or Long Run Regression
A cointegration test is used to see if there is a long-term correlation between many time series. Cointegration tests detect situations in which two or more non-stationary time series are integrated in such a way that they cannot diverge from equilibrium over time. The tests are designed to determine how sensitive two variables are to the same average price over a given time period. Engle-Granger Two-Step Method, Johansen Test.
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