Econometrics Toolbox

Cointegration Modeling

Econometrics Toolbox provides Engle-Granger and Johansen methods for cointegration testing and modeling. The Engel-Granger method tests for individual cointegrating relationships and estimates their parameters. Johansen methods test for multiple cointegrating relationships and estimate parameters in corresponding vector error-correction (VEC) models. Johansen methods also test linear restrictions on error-correction speeds and the space of cointegrating vectors, and they estimate restricted model parameters.

Cointegration testing and modeling on the term structure of interest rates.

Cointegration testing and modeling on the term structure of interest rates.

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