allpairs.egcm: Perform cointegration tests for all pairs of securities in a...

In matthewclegg/egcm: Engle-Granger Cointegration Models

Perform cointegration tests for all pairs of securities in a list

Description

Given a list of ticker symbols, downloads the adjusted daily closing prices of each of the symbols from Yahoo, and performs a cointegration test for each pair of symbols. Returns a data.frame containing the results of the tests.

Usage

allpairs.egcm(tickers, 
  startdate = format(Sys.Date() - 365, "%Y-%m-%d"), 
  enddate =   format(Sys.Date(), "%Y-%m-%d"), clear.na.inf=TRUE, ...)

Arguments

tickers	A list of ticker symbols whose data is to be downloaded from Yahoo!. Alternatively, this may be a data.frame containing the price series to be checked, one series per column.
startdate	The starting date for which to download the data. Given in the form "YYYY-MM-DD". Defaults to one year ago.
enddate	The ending date for which to download the data. Given in the form "YYYY-MM-DD". Defaults to today.
clear.na.inf	if TRUE, NA and Inf price values are replaced by the last available price. Default:TRUE.
...	Other parameters to be passed to egcm

Value

A data.frame containing the following columns:

• series1: Name of the first ticker in this cointegration test

• series2: Name of the second ticker in this cointegration test

• log: Boolean which if TRUE indicates that the cointegration test is performed on the logs of the series

• i1test: Name of the test used for checking that the series are integrated.

• urtest: Name of the test used for checking for a unit root in the residual series

• alpha: Constant term of the linear relation between the series

• alpha.se: Standard error of alpha

• beta: Linear term of the linear relation between the series

• beta.se: Standard error of beta

• rho: Coefficient of mean reversion

• rho.se: Standard error of rho

• s1.i1.stat: Statistic computed for integration test of first series

• s1.i1.p: p-value for integration test of first series

• s2.i1.stat: Statistic computed for integration test of second series

• s2.i1.p: p-value for integration test of second series

• r.stat: Statistic computed for cointegration test (e.g. whether the residual series contains a unit root)

• r.p: p-value associated with r.stat

• eps.ljungbox.stat: Ljung-Box statistic computed on the innovations of the series

• eps.ljungbox.p: p-value associated with the Ljung-Box statistic

• s1.dsd: Standard deviation of the first differences of the first series

• s2.dsd: Standard deviation of the first differences of the second series

• residuals.sd: Standard deviation of the residual series

• eps.sd: Standard deviation of the innovations

• is.cointegrated: TRUE if the pair is cointegrated at the 5% confidence level

Author(s)

Matthew Clegg [e-mail]

See Also

egcm

Examples

## Not run: 
    # Check if any of the oil majors are cointegrated:
    allpairs.egcm(c("BP","CVX","RDS.A","TOT","XOM"))

## End(Not run)

matthewclegg/egcm documentation built on March 5, 2023, 6:33 a.m.