Module III — Engle–Granger Cointegration

Status: outline. Lecture body not authored.

Regression-based cointegration, residual stationarity, hedge ratio, Error-Correction Model intuition. Integration I(0)/I(1), cointegrating residual, ADF residual, speed of adjustment.

Unique process — Stationarity ≠ Profitability

A stationary residual is evidence of an equilibrium, not a net return.