[R-SIG-Finance] [R-sig-finance] Testing for cointegration: Johansen vsDickey-Fuller

Brian G. Peterson brian at braverock.com
Tue Jan 13 12:39:15 CET 2009

Christofer Bogaso wrote:
> Hi Eric, your note I feel obviously valid and truly intuitive. However can
> you provide some monte carlo analysis on that? It would be easier to
> visualize the whole thing.


No offense, but if you want to visualize the difference in cointegration test 
methods using a Monte Carlo simulation, why don't you do it yourself and post 
the results to help educate the list on what you find, rather than asking 
others to spend valuable time doing it for you?

Further, I fail to see how a Monte Carlo *simulation* could create a pair of 
simulated cointegrated spot/future time series.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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