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Re: CointegrationMLE

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#2030
haksunli
Keymaster

Hello Ivan,

You can refer to this example for how to use the cointegration package in SuanShu.
http://www.numericalmethod.info/wiki/numericalmethod/browser/Examples/src/com/numericalmethod/suanshu/examples/Cointegration.java

Briefly,
The “.beta()” are the cointegrating factors. For your case, you need only to use the first column vector.
The “.alpha()” are the speed of adjustment.

Thanks,
Haksun