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  • Dickey-Fuller unit roots
  • Engle-Granger cointegration
  • Unit roots and cointegration

Unit roots and cointegration#

The Dickey-Fuller distribution and the Engle-Granger two-step test.

Dickey-Fuller unit roots

Dickey-Fuller unit roots

Engle-Granger cointegration

Engle-Granger cointegration
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