GitHub

engle_granger_coint_demo.py

data = pd.read_csv("http://web.pdx.edu/~crkl/ceR/data/usyc87.txt",index_col='YEAR',sep='\s+',nrows=66) coint_test1 = coint(c, y, trend='ct', autolag='AIC') coint ...
GitHub

engle_granger_implementation.md

This document provides a comprehensive guide to the implementation of the Engle-Granger cointegration test in our quantitative trading framework. It includes mathematical foundations, implementation ...