co-integration

Is this thing necessarily bad?? Doens’t seem like it…says “if time series are cointegrated the error term from regressing one on the other is cov. stationary and t test reliable”. is this right? And is dickey fuller used for ARCH specifically or for any type of AR model? im confused.

Cointegrated time series = good = we can use regresion

dicky fuller is used for any AR time series to check whether theres any unit root… ARCH arch use t-test…

dicky fuller is used for any AR time series to check whether theres any unit root… arch use t-test…