Johansen Cointegration Test

[cdrnet]

From: https://mathnetnumerics.codeplex.com/workitem/5730

Would like to see support for Johansen test.

http://www.mathworks.com/help/econ/jcitest.html
http://en.wikipedia.org/wiki/Johansen_test

[jaredbroad]

Bump. Any plans @cdrnet? @mchandschuh

[cdrnet]

How would an API design for this ideally look like, that would support your use case in a clean way?

[mchandschuh]

Ideally the API would support usage similar to this python implementation.

Following along the lines of the Correlation class, I could see something like the following in C#:

var result = Cointegration.Johansen(Matrix<double> matrix, int order, int laggedDifferences);

[glyphard]

This suggested API makes sense.

FWIW, the suggested api is reasonably consistent with the R package for
Johansen Cointegration Test (urca). It is a little bit different than the
matlab econometrics toolbox version of Johansen Cointegration, but that is
probably ok because the matlab api is older and offers a lot more complex
control over the implementation details which likely wouldn't be built into
a first version of JCI in mathnet.

On Fri, Sep 18, 2015 at 2:30 AM, Michael [email protected] wrote:

Ideally the API would support usage similar to this python
https://github.com/josef-pkt/statsmodels/blob/coint/statsmodels/tsa/johansen.py
implementation.

Following along the lines of the Correlation class, I could see something
like the following in C#:

var result = Cointegration.Johansen(Matrix matrix, int order, int laggedDifferences);

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[Levitikon217]

Any updates on this? It would be really cool if any Cointegration support was added. Johansen or Augmented Dickey Fuller (ADF)!

[karuzzo]

@cdrnet Hi, I have my custom implementations of the ADF test and the Johansen test using your library, I don’t know how correct these implementations are, but I’m ready to send them to you so that you check them and correct them if necessary so that these tests can be added to your library.

[usanovserg]

Hi! Karuzzo, how can I contact you?