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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
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  • $\begingroup$ Did you find a concrete answer? $\endgroup$ – JohnAndrews Jan 22 '17 at 22:15
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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.

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