How to solve multicollinearity in cointegration test
When there are lagging variables, find the expression of relationship or linear relationship (of course, it is not necessary to convert nonlinearity into linearity). I remember an excellent paper on the topic of water quality in the Yangtze River. By directly observing the change trend, it is found that there is * * * linearity, and then it is tested and the two quantities are merged. Of course, there are many ways to deal with it, and gradual regression is also possible. As for the mathematical method to test whether there is * * * linearity, it can be completed by statistical test.