Cointegration and Error Correction Model - Video Material

The video tutorial covers cointegration using the Engle and Granger method in EViews, split into two parts. The presenter explains cointegration in multivariate models, distinguishing it from spurious regression. Using a money demand model example, they demonstrate how to test for stationarity and estimate the long-run equilibrium model using OLS. Two methods for testing cointegration, Augmented Dickey-Fuller and Engle and Granger tests, are discussed, along with the error correction model for capturing short-run dynamics. Emphasis is placed on understanding the theory and interpreting results, with resources provided for further learning.