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===Engle and Granger 2-step approach===
The first step of this method is to pretest the individual time series one uses in order to confirm that they are [[Stationary process|non-stationary]] in the first place. This can be done by standard [[unit root]] DF testing and [[ADF test]] (to resolve the problem of serially correlated errors).
Take the case of two different series <math>x_t</math> and <math>y_t</math>. If both are I(0), standard regression analysis will be valid. If they are integrated of a different order, e.g. one being I(1) and the other being I(0), one has to transform the model.
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