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If the (Engle-Granger) Dickey-Fuller test rejects the null hypothesis that the error term has a unit root then the conclusion is:

January 19, 2017

that the error term in the regression is covariance stationary. Therefore the two time series are cointegrated.

The parameters and standard errors from linear regression will be consistent and will allow testing of the hypotheses about the long-term relationships between the two series.

 

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