haksunli
haksunli
@haksunli
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Joined: Jan 21, 2020
Last seen: Sep 13, 2022
Topics: 12 / Replies: 7
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Just out of curiosity, why do you need a Java specific tool over Python please?

2 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

I would use TrendType.CONSTANT for a pair of financial time series.

2 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

I see. So, you are trying to find pairs of integrated time series. One simple solution is to use multi-threading, multi-processes, and multi-machine...

2 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Can you tell me more about the domain of application that you are working on? Are they financial time series?If there are many time series, then coint...

2 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Maximum Eigenvalue Test For the Johansen cointegration test, there is a hypothesis test to determine r, the number of cointegrating relationships. ...

3 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Or, the time series chapter in this book. It has detailed instructions on how to use the SuanShu and NM Dev library.

3 months ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Hello, The best reference on the subject is this authoritative book:

3 months ago
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8 months ago
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1 year ago
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