| The advantage of the cointegration approach is that it allows one to integrate the long-run and short-run relationships between variables within a unified framework. |
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| Testing for cointegration involves testing the residuals from an OLS regression for stationarity. |
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| As an addendum to the cointegration tests, we also estimated error correction models for the American League hit batter data both in levels and in rates. |
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| Some do investigate the nonstationarity properties but then imply the Granger Causality Tests using simple VAR or VECM or Johansen-Juselius cointegration procedures. |
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