Johansen Cointegration Test with NumXL
Step-by-step guide to perform Johansen Cointegration Test and determine cointegration of non-stationary time series variables.
November 2, 2016
Cointegration refers to a long-term equilibrium relationship among multiple non-stationary time series variables. It is necessary for regression analysis to be valid for non-stationary time series.
Step-by-step guide to perform Johansen Cointegration Test and determine cointegration of non-stationary time series variables.