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Re: CointegrationMLE

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#2039
tchristell
Member

Thanks Ryu,

In that case, I should get the same regression coefficients as if I had ran the regression on another software package like R, Matlab, Eviews etc. Curiously though, I am getting different numbers. Does Shuanshu ‘clean’ the data before running the regression, for example, getting rid of outliers above a certain threshold. Or does it run a regression on the pure data input to the program.

I am assuming OLS regression here.

dj