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Time Series mean reversion utilities

Project description

johansen

Python implementation of the Johansen test for cointegration

Installation notes:

This package requires scipy, which in turn requires blas, lapack, atlas, and gfortran. These can be installed on a Ubuntu system with:

sudo apt-get install libblas-dev liblapack-dev libatlas-base-dev gfortran

Examples:

See examples folder for a jupyter notebook with example usage.

NOTE:

The cases when the chosen model (in the language of MacKinnon 1996) is 1* or 2* have not yet been fully implemented. They will be completed in the near future.

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