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Version: v5

cointegration

Test pairs of time series for cointegration via the Engle-Granger two-step test.

Cointegration means two non-stationary series share a long-run equilibrium. The Engle-Granger test regresses one series on the other and checks the residuals for stationarity.

Examples​

from openbb import obb
obb.econometrics.cointegration(columns=['open', 'close'], data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])

Parameters​

data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
Input dataset.

columns: list[str]
Columns to test pairwise for cointegration.

Returns​

results: list[CointegrationData]

Serializable results.

provider: str

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

Data​

pair: str
The tested column pair, formatted as 'x/y'.

c: float
Constant of the long-run relationship.

gamma: float
Slope of the long-run relationship.

alpha: float
Error-correction speed of adjustment.

adf_stat: float
Dickey-Fuller statistic on the residuals.

p_value: float
p-value of the Dickey-Fuller statistic.

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