Cointegration Analysis with Econometrics Toolbox

Cointegration is a relationship among macroeconomic time series that follow a shared stochastic trend. Identifying cointegration, distinguishing it from common notions of deterministic trend, and accurately modeling it are essential for meaningful forecasting. Econometrics Toolbox™ has a versatile collection of tools for cointegration testing and parameter estimation of the associated vector error-correction models.

In this webinar, basic concepts of cointegration are reviewed in the context of real economic data. Both the Engle-Granger and Johansen frameworks for cointegration analysis are discussed, using hypothesis testing functions from the toolbox. Cointegrating relationships, when identified, are estimated and plotted. Within the Johansen framework, various null hypotheses for the cointegrating relationship are compared, together with corresponding methods for estimating model parameters. Finally, constraints on the cointegrating relationship and their effects on model estimation are considered as an extension of the standard Johansen framework, with relevant modeling strategies demonstrated.

Download the code from the video: https://bit.ly/3NRTLxP
Download the demo notes: https://bit.ly/44Be0WB
View slides: https://bit.ly/42x6EBm
Cointegration Webinar Q & A: https://bit.ly/3VI86Pj

0:00 Introduction
0:14 Cointegrated Data
3:05 Terminology and Definitions
5:13 Data and Visualization in Matlab
6:09 Pretest for the Order of Integration
14:36 Engle-Granger Test for Cointegration
20:07 Cointegrating Relations
21:24 The Cointegrated VAR Model
27:22 Limitations of the Engle-Granger Test
30:06 Johansen Framework for Cointegration Testing
35:20 VEC Model Estimation
38:25 Testing Cointegration Constraints
43:12 Conclusion