1
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1answer
92 views

Simulate non-stationary time series with cointegration

how can I simulate/generate two non-stationary time series (with unit root) so that they can be also cointegrated (using R or Matlab). Thanks in advance.
6
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2answers
1k views

Why does this Co-integrated basket look too good to be true?

You need quantmod & tseries in R to run this: ...