“…Then the standard linear regression models may lead to spurious regression (Granger & Newbold, 1974) and cointegration analysis is the right method of statistical inference. Therefore, cointegration analysis is a popular method in econometrics and is also used in other fields, such as in biology (Dahlhaus et al , 2018; Østergaard et al , 2017), agriculture (Zapata & Gil, 1999) or climatology (Schmith et al , 2012; Friedrich et al , 2023). Recently, attempts to fit cointegrated VAR models in high‐dimensional settings started appearing, such as for big data in macroeconomics and finance (Wilms & Croux, 2016; Smeekes & Wijler, 2020; Chen & Schienle, 2022), EEG data (Levakova et al , 2022), phase synchronisation (Østergaard et al , 2022) and in structural health monitoring problems (Cross et al , 2011; Mousavi & Gandomi, 2021).…”