Cointegration

Cointegration
Understanding the concept of cointegration in time series analysis, particularly in relation to non-stationary variables that share a common stochastic trend.
Error Correction Model
A model used for estimating the short-run dynamic relationship among cointegrated variables and their adjustments towards long-term equilibrium.
Johansen’s Approach
A comprehensive overview of Johansen's Approach in econometrics for estimating vector error correction models (VECM) with multiple cointegrating vectors.