analyzing the correlation between soybean and soybean meal futures in ECBOT, and making a linear regression in R between them I check with an ADF Test that the residuals are not stationary, so theoretically both series are not cointegrated, else they have a spurious relationship. But, has this sense? They are over the same underlying and highly correlated (not like Soybean Oil and Soybean futures that have poor correlation).
Cheers, Gonzalo.