Discuss how one might test for cointegration between variables using the Engle-Granger (EG) 2-step approach and discuss the drawbacks of EG’s approach

Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter13: Regression And Forecasting Models
Section13.4: Multiple Regression Models
Problem 17P: The owner of a restaurant in Bloomington, Indiana, has recorded sales data for the past 19 years. He...
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Discuss how one might test for cointegration between variables using the Engle-Granger (EG) 2-step approach and discuss the drawbacks of EG’s approach.

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