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For the two-variable case, what are the practical differences between using the Engle-Granger procedure versus the Johansen test for cointegration? Is one universally more powerful than the other? Will one give more false positives or false negatives than the other? Should Johansen always be preferred?

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This is an interesting question but maybe you get more answers at stats.stackexchange.com ? – Richard May 7 '14 at 5:52

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