Engle-Granger

The Engle-Granger method is a statistical approach used to determine whether two or more time series (like economic indicators) share a long-term relationship, meaning they tend to move together over time. It involves testing whether a combination of these series remains stable—indicating they are "cointegrated." If they are, it suggests that despite short-term fluctuations, their relationship persists in the long run, which can be useful for forecasting and economic analysis. This approach is fundamental in studying economic data where variables are connected through underlying economic forces.