Arima cointegration test

by william007   Last Updated August 24, 2019 05:19 AM

Am I right to say that for multivariate time series, we can't use normal stationary test like Dickey–Fuller test and we need to use cointegration Test like Johansen? Or this is not true in general?



Related Questions



Interpretation of the ur.df() unit root test in R

Updated June 20, 2018 21:19 PM