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Re: CointegrationMLE

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#2037
tchristell
Member

Hi Kevin,

I’m am in the same group as Ivan, exploring cointegration with algoquant. Correct me if I am wrong for the following:

I assume that Algoquant:

(1) runs a regression between Y and X (assume 2 time series data)
(2) puts the residuals through the Johansen test and outputs the test statistic values in getStats()
(3) outputs the regression coefficients as well

dj