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What is the best command to return the % two stocks are cointegrated?

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CR
CR el 1 de Sept. de 2011
I am wondering what command is the best that will return the % average two stocks are cointegrated?
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Rick Rosson
Rick Rosson el 3 de Sept. de 2011
What does the term "cointegrated" mean in this context? Is it the same thing as "correlated" or is it something different?
the cyclist
the cyclist el 3 de Sept. de 2011
Rick, guessing he means this: http://en.wikipedia.org/wiki/Cointegration. It's a term used in economics and finance.

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Respuestas (2)

the cyclist
the cyclist el 3 de Sept. de 2011
Do you have the Economics Toolbox? I don't have it myself, but I expect there are functions in there that would help.
Rick Rosson
Rick Rosson el 4 de Sept. de 2011
The Cyclist is correct. The Econometrics Toolbox has two functions that test for cointegration:
  • The Johansen cointegration test: jcitest
  • The Engle-Granger cointegration test: egcitest
For more information:
HTH.
Best,
Rick

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