Skip to content

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.



From → Quant

One Comment

Trackbacks & Pingbacks

  1. Another CFA® Exam is Finished – Muskblog

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s

%d bloggers like this: