Login
Login

Re: AugmentedDickeyFuller and different result in R

Home 21090308 Forums Re: AugmentedDickeyFuller and different result in R

#2146
Ryu
Member

Your approach is fine, although I would do it differently.

SuanShu implements the Johansen cointegration test, which is more preferable to the Engle-Granger 2-step approach.

If you have algoquant, you can take a look at the class [tt:xupe8hig]MovingCointegration[/tt:xupe8hig].
http://www.numericalmethod.com/wiki/numericalmethod/browser/algoquant/algoquant/src/com/numericalmethod/algoquant/model/analysis/MovingCointegration.java