Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

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?

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

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.