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Matrix of cointegration as a var-cov matrix

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fede
fede el 22 de Sept. de 2015
If I have the following matrix composed from name of stocks and their daily price time series
IBM JPM C
p11 p12 p13
p21 p22 p23
I want to obtain a cointegration matrix (utilizing the engle and granger test score) as a covariance matrix.

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