This paper presents an initiative research work that applies cointegration testing method to the condition monitoring and fault diagnosis of nonstationary dynamic engineering systems. The cointegration testing method seeks a linear combination of a set of nonstationary system variables which describes the dynamic equilibrium relations among them. The fact that the cointegrational model could be violated on the occurrence of a fault is utilised to detect abnormal conditions. The model residuals are processed and analyzed to extract the fault features. In this paper it is demonstrated that the cointegration testing method is a power full means for condition monitoring for nonstationary engineering systems.