Johansen-Cointegration-Exercise
Cointegration Example in Multivariate Time Series Review Using Augmented Dickey Fuller test Johansen Test for Cointegration
Review
Trying to reproduce Example 3.2 from Likelihood-based Inference in Cointegrated Vector Autoregressive Models by Søren Johansen
- Augmented Dickey Fuller test
- Johansen Test for Cointegration
Reference for the code https://nbviewer.jupyter.org/github/mapsa/seminario-doc-2014/blob/master/cointegration-example.ipynb