
I was personally not aware of this link, thanks!



That's basically taking the "decorrelated" series (since using OLS beta 
it is the same than using correl & taking (y series - correl(y,x) * x
 series) & checking for unit root in that "residual" series.

Not sure what it adds to checking for significance of a correl between 
two series? & I guess it does not address the path dependance 
question...? 



but that may be my own limitation... Hope Russel does ot mind adding my two cent to his post, I am interested by this topic

Rgds,
Julien






> Date: Tue, 25 Oct 2011 10:10:30 -0700
> From: Peter.Brecknock@bp.com
> To: r-sig-finance@r-project.org
> Subject: Re: [R-SIG-Finance] Estimating co-integration factors of two time	series
> 
> 
> Russell Bowdrey wrote:
> > 
> > So, there appear to be many, many routines for testing for unit roots or
> > hypothesis tests on co integration (ca.jo, ca.po etc)  - but I've yet to
> > find a means of estimating the degree of co-integration between two time
> > series.
> > 
> > IT could be that I'm going about this the wrong way (or looking for the
> > wrong technique), so here is my problem (which I thought was common and
> > had been solved...):
> > 
> > I want to measure the degree of co-movement between two assets or rates. 
> > For example the yield on a bond and the corresponding risk-free rate.
> > 
> > Of course I could just look at Pearson/Spearman/Kendal correlation between
> > the time series, but I believe that ignores time and so path dependence -
> > which I think is important.  Hence thinking about cointegration.
> > 
> > Any thoughts?
> > 
> > 
> > This email and any attachments are confidential and inte...{{dropped:30}}
> > 
> > _______________________________________________
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> > -- Also note that this is not the r-help list where general R questions
> > should go.
> > 
> 
> Perhaps Paul Teetor's example at
> http://quanttrader.info/public/testForCoint.html maybe useful
> 
> HTH
> 
> Pete
> 
> --
> View this message in context: http://r.789695.n4.nabble.com/Estimating-co-integration-factors-of-two-time-series-tp3937426p3937455.html
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