Cointegration - Engle and Granger method in EViews

Описание: Cointegration in Eviews explained step by step! By watching the video "Cointegration - Engle and Granger method in EViews" you will learn the difference between spurious regressions and cointegrated variables. We will follow the Engle and Granger cointegration method to determine if two variables have a long run relationship. Learn how to know if two variables are cointegrated, and in the second video we will estimate the error correction model and analyze the results.

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✅In the second video, we will estimate the error correction model
Link:    • Time Series: Error Correction Model explai...  

✅Note: In Minute 8:45 I made a mistake. The paper belongs to Stock and not Watson.
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🗂Video Material:

📈Critical Values Table for Cointegration:
https://www.economics.utoronto.ca/jfl...
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📚Recommended Literature:

📚Yule (1926): Why do we Sometimes get Nonsense-Correlations between Time-Series?- A Study in Sampling and the Nature of Time-Series
Link: https://www.math.mcgill.ca/~dstephens...

📚 Granger and Newbold (1974): Spurious Regressions in Econometrics
Link: http://citeseerx.ist.psu.edu/viewdoc/...

📚 Engle and Granger (1987): Co-Integration and Error Correction: Representation, Estimation, and Testing
Link: http://www.ntuzov.com/Nik_Site/Niks_f...

✅ In Minute 8:45 I made a mistake. The paper belongs to Stock and not Watson. Link below:

📚Stock (1987): Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Link: https://oconnell.fas.harvard.edu/file...
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TimeStamps:

Introduction 00:00
Cointegration Overview 0:58
Spurious Regression vs Cointegration 1:32
Example: Money Demand Model 3:31
Model Considerations 5:11
Engle and Granger Method 7:31
Example: Method 1 9:43
Stationarity 12:13
Long Run Model 16:22
Cointegration Residual Test 19:56
Method 2: Eviews Tests 22:08
Engle and Granger Test 24:14
Phillips Ouliaris Test 26:06
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