Kizspy Question: 38
(Choose 1 answer)
Which of the following statements is true regarding the Engle-Granger cointegration test?
A. It is a 2-steps approach to testing for cointegration.
B. It requires the estimation of a vector autoregression (VAR) model.
C. It is based on testing the individual coefficients of a regression model.
D. It is primarily used for testing for heteroscedasticity.
