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.

Is there a standard (or maybe even intuitive?) way of ranking pairs of cointegrated time series so that one could make statements like the following:

series A is MOST cointegrated with series M
series A is NEXT MOST cointegrated with series Y
...
series A is NEXT, ... NEXT (i.e. LEAST) cointegrated with series J
share|improve this question
add comment

1 Answer

up vote 4 down vote accepted

The Augmented Dickey–Fuller test is usually used for this purpose. Again, wikipedia does a decent treatment.

I would suggest using google for this before posting here. There is tons of information out there on cointegration.

share|improve this answer
add comment

Your Answer

 
discard

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

Not the answer you're looking for? Browse other questions tagged or ask your own question.