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I would recommend using the Johansen-Procedure for determining the cointegration vector, the ca.jo-function from library(urca). After determining the cointegration rank, a normalized cointegration vector is produced by estimating a restricted VECM with the command cajorls().


I believe there are several questions being asked. Since there are several behavioural patters that could be measured I suggest to first identify which is of most interest. See Hersh for a good summary of patterns. For most behavioural patterns that I can think of you would need transaction data.

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