Welcome to the comprehensive Stata tutorial package on cointegration and error correction models. In this video series, I walk you through the Engle and Granger two-step method, helping you understand and apply these advanced econometric techniques. Get ready to enhance your analytical skills and discover the power of cointegration in economic modeling.

By purchasing this tutorial package, you'll acquire the knowledge and practical skills to:

• Detect cointegration between non-stationary variables using the Engle and Granger method.
• Estimate both the long-run and short-run models, gaining insights into economic relationships over different time horizons.
• Interpret the error correction term and understand its role in restoring equilibrium.
• Implement crucial model diagnostics to validate your econometric analysis.
• Apply these advanced techniques to real-world datasets and enhance your proficiency in Stata.