Time Series mean reversion utilities
Python implementation of the Johansen test for cointegration
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
See examples folder for a jupyter notebook with example usage.
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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