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’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