Johansen Cointegration Test with NumXL
Step-by-step guide to perform Johansen Cointegration Test and determine cointegration of non-stationary time series variables.
November 2, 2016
The Johansen test is a statistical method used to determine the number of cointegrating relationships among a set of time series variables using multivariate extension, often used in econometrics and finance to test for long-term equilibrium relationships among economic time series.
Step-by-step guide to perform Johansen Cointegration Test and determine cointegration of non-stationary time series variables.
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