1 · Unit roots and spurious regression
Distinguish persistent stochastic trends from stable relationships.
Cointegration, VECM & State-Space Models
Unit roots, cointegration rank, error correction, Kalman filtering, latent states, and real-time nowcasting.
Course overview
Learn Cointegration, VECM & State-Space Models interactively
This free course uses real Python and statsmodels in your browser. Work through the modules below with explanations, executable examples, interactive controls, and questions.
2 · Engle-Granger cointegration
Test whether a linear combination of integrated variables is stationary.
3 · Johansen systems and rank
Determine how many stationary long-run relations a multivariate system contains.
4 · Vector error correction
Combine short-run changes with adjustment toward long-run equilibrium.
5 · State-space filtering and nowcasting
Estimate latent states and update them as noisy releases arrive.