Hello List,

I'm testing multivariate timeseries for cointegration using the
Phillips-Ouliaris test from package urca (ca.po) i.e:

############################################# start example
################################
> library(quantmod)
> library(urca)
>
> getSymbols(c('GLD', 'GDX'), from="2006-01-01")
[1] "GLD" "GDX"
>
> prices=na.omit(cbind(Ad(GLD), Ad(GDX)))
>
> summary(ca.po(coredata(prices), type='Pz'))

########################################
# Phillips and Ouliaris Unit Root Test #
########################################

Test of type Pz
detrending of series none

Response GLD.Adjusted :

Call:
lm(formula = GLD.Adjusted ~ zr - 1)

Residuals:
    Min      1Q  Median      3Q     Max
-9.3422 -0.6212  0.0540  0.7783  8.6275

Coefficients:
                Estimate Std. Error t value Pr(>|t|)
zrGLD.Adjusted 1.0004786  0.0020531 487.295   <2e-16 ***
zrGDX.Adjusted 0.0001917  0.0047246   0.041    0.968
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 1.44 on 1414 degrees of freedom
Multiple R-squared: 0.9998, Adjusted R-squared: 0.9998
F-statistic: 3.78e+06 on 2 and 1414 DF,  p-value: < 2.2e-16


Response GDX.Adjusted :

Call:
lm(formula = GDX.Adjusted ~ zr - 1)

Residuals:
    Min      1Q  Median      3Q     Max
-5.0164 -0.6497  0.0160  0.7325  4.7142

Coefficients:
               Estimate Std. Error t value Pr(>|t|)
zrGLD.Adjusted 0.001727   0.001608   1.074    0.283
zrGDX.Adjusted 0.996047   0.003701 269.116   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 1.128 on 1414 degrees of freedom
Multiple R-squared: 0.9994, Adjusted R-squared: 0.9994
F-statistic: 1.162e+06 on 2 and 1414 DF,  p-value: < 2.2e-16



Value of test-statistic is: 11.1864

Critical values of Pz are:
                  10pct    5pct    1pct
critical values 33.9267 40.8217 55.1911

########################## end example ################################

Now my question is where is my hedge ratio? The estimates (coefficients)
don't look at all usable.
Do i have to do a manual OLS regression to get the hedge ratio or is it
hidden somewhere in the ca.po test results?

Thanks,

-Mark-

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