Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+

Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration?

I am using matlab.

Thanks. I am completely new to matlab and this level of statistics/econometrics. I have been trading pairs using lower level stats and looking to improve the model.

share|improve this question
I advice you to read a book on time series analysis. It is strongly recommended to know what you're doing in statistics. –  Good Guy Mike Apr 16 at 19:17
@GoodGuyMike thanks, as noted in earlier question. Seeking one out right now. :) –  user3126171 Apr 16 at 19:26
To answer your question. Correlation and cointegration is basically not the same thing. I wish I could answer your other question as well on Johansens (I think that was the test you used), unfortunately I don't know that test well enough to ensure my credibility. –  Good Guy Mike Apr 17 at 14:38
Thanks @GoodGuyMike, Reading up the literature and still can't figure out anything. Trying and trying again. :) –  user3126171 Apr 18 at 10:58

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.