Cointegration test using Stata 15.1: part II

It explores the basic conceptual issues involved in estimating relationship between two or more nonstationary time series with unit roots and discuss the appropriate econometric techniques used in regression analysis of nonstationary variables. The development of the concept of stochastic trends in macroeconomic time series required new statistical tools to analyse large samples of macroeconomic data in a correct way. Clive Granger has shown that macroeconomic models can be estimated meaningfully with integrated variables. The development of the concept of cointegration by Granger (1981) has changed radically the way through which empirical models of macroeconomic relationships are formulated today.