1. Engle granger 2 step procedure

2. First test the variables for their order of integration
Test the level and first and maybe second difference

3. Changing mean
Corelogram dies away slowly
Non stationary peak at zero

4. Start pc-give and go to descriptive statistics for the DF tests

8. Pick largest AIC value
Borderline but non-stationary

9. So pictures say non stationary and so do the tests.
Repeat for differences and for the other variables

10. Then start to asses cointegration
Start econometric modelling
Estimate a simple static equation (no lags)

14. CRDW too
low

18. Now test the residual for sationarity

19. All 3 look non stationary

20. Different critical values test does not reject non-stationarity

21. So add variables until we get cointegration

23. Crdw much higher

24. Now save and test this residual

25. All suggest stationary residual

26. Wrong critical value but test is now about right

27. So now build error correction model

30. PASSES ALL TESTS

31. Now just delete the insignificant variables making sure that you do not fail any of the tests until we get a parsimonious model