# Tag Info

For Engle-Granger, I can see that you are returned a vector of 2 elements for each of the output arguments, hence you run two tests there. For the sake of clarity and the education of people interested in the post, we can say that: Since your $hValues$ are both zero, we can say that there is a failure to reject the Null Hypothesis, which in this case is ...
Let $u_t$ be the random walk $$u_t = u_{t-i} + \varepsilon_t$$ where $\mathrm{E}[\varepsilon_t]=0$ and $\mathrm{var}[\varepsilon_t]=\sigma^2$ , i.e. $\varepsilon_t$ is stationary. Now let $$X_t = \alpha u_t +\nu_t$$ and $$Y_t = \beta u_t + \eta_t$$ where $\nu_t$ and $\eta_t$ are stationary processes similar to $\varepsilon_t$ Then both $X_t$ and ...