Cointegration and Error Correction Model in Stata. Time series Analysis: Cointegration tutorial using the Engle and Granger 2 steps method.

Learn how to test if two or more variables are cointegrated and learn how to estimate the short run model. Also, You will learn how to interpret the error correction term which is reffered to as "speed of adjustment".

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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊 Cointegration Overview 0:53
📊 Engle and Granger Method 1:48
📊 Cointegration - Example 3:40
📊 Order of Integration 5:55
📊 Long Run Regression 7:52
📊 Method 1: Cointegration Test Tables 9:38
📊 Method 2: Cointegration Test 13:47
📊 Short Run Model 16:17
📊 Error Correction Term Details 19:47
📊 Interpretation of the models 20:58
📊 Model Diagnostics 22:52

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