Cointegrations of couples of time series
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Hi everyone,
from an excel spreadsheet in which every columns is a time series representing the prices of an equity,
I found the couples of more correlated titles from a correlation matrix that I found " G_rho " using the properties of the function " Coppie " I think should be the translation for couples
for z=1:371 for i=1:371
Coppie(i,:,z) = [z G_rho(z,i)];
end end
Couples(:,:,:)
How can I test their cointegrations ?
Is a Dickey-Fuller test necessary before proceed to an Engle-Granger test ?
Can someone help me with the codes ?
Thank you
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