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Another book is Bernhard Pfaff's Analysis of Integrated and Cointegrated Time Series with R (amazon.com). He emphasizes the Johansen method and error correction models, but also gives an empirical example of the Engle-Granger procedure, Code 4.2.


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One of the simplest and most intuitive books covering cointegration is Applied Econometric Time Series by Enders. It would cover both Engle-Granger and Johansen (although not in so much detail). Another tried and true way of learning it is to go to the Eviews Help Manual. It has grown over the years and now is over 1000 pages. I used it when it was maybe ...


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In the E.P. Chan's Book, the author provided an example in which he tests a pair trading strategy on GLD (gold spot price) and GDX (gold industry stock index). All code examples are written in Matlab down in the book, but all of them are explained pretty well; each practical example is equipped with a full theoretical explanation. The example you need for ...



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