Abstract
This paper is first in a series to point out some inconsistent arguments advanced by Engle and Granger who first proposed cointegration analysis for analyzing non-stationary time series that has become a dominant paradigm in empirical economic research. To illustrate, we apply time series cointegration analysis and present statistical evidence that supports the proposition that the economies of Canada and the United States are cointegrated. We conclude this paper by laying out a foundation to formally criticize the cointegration analysis in subsequent research. We recommend that, except for pedagogical review of policy failure of historical magnitude, the method of cointegration analysis not be used in any public policy analysis.
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