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Re: AugmentedDickeyFuller and different result in R

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#2150
andreynado
Member

I think I’m still missing some basic education in this field. My code looks like this now:

But I do not know what beta stands for. I do not understand the parameters that can be used to construct CointegrationMLE and JohansenTest classes (JavaDoc is not helpful here) and finally I’m not closer to my goal which is to compare pairs of stocks by cointegration. If I simply have two pair of stocks I need to say which one is better or which matches some criteria of cointegration. By the way the previous example does not work IMHO for my purposes. It says that almost every pair of stocks is cointegrated but that cannot be true.