Description Usage Arguments Value Author(s) See Also Examples

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.

1 2 3 | ```
allpairs.egcm(tickers,
startdate = as.numeric(format(Sys.Date() - 365, "%Y%m%d")),
enddate = as.numeric(format(Sys.Date(), "%Y%m%d")), ...)
``` |

`tickers` |
A list of ticker symbols whose data is to be downloaded
from Yahoo!. Alternatively, this may be a |

`startdate` |
The starting date for which to download the data.
Given in the form |

`enddate` |
The ending date for which to download the data.
Given in the form |

`...` |
Other parameters to be passed to |

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

Matthew Clegg [email protected]

1 2 3 4 5 | ```
## Not run:
# Check if any of the oil majors are cointegrated:
allpairs.egcm(c("BP","CVX","RDS.A","TOT","XOM"))
## End(Not run)
``` |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.