Not the Grail, just a regular one - Bablokos!!! - page 62
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What is "cointegration regression"? "Series graphs" - are these series cointegrated? Please post these series graphs, just standardise them.
There are charts of two pairs for the year at H1 - 6736 bars. These two pairs are being examined for cointegration.
and "cointegration regression" what is it?
Well I think what his script finds will pass the cointegration test. Only on the same sample. I mean, it's a cointegration fit.
and "cointegration regression" what is it?
EURUSD = a+b*GBPUSD
is a regression. What is a "cointegration regression"?
is a regression. What is a "co-integration regression"?
This is it.
What does this regression co-integrate with? "EURUSD = a+b*GBPUSD" is the first row. What is the second?????????????????????????????????????????????????????
What does this regression cointegrate with? "EURUSD = a+b*GBPUSD" is the first row. What is the second?????????????????????????????????????????????????????
The regression does not cointegrate with anything.
There are two series: EURUSD and GBPUSD. They are added with coefficients a and b.
Subtract the regression with the estimated coefficients a and b from the quotient.
If the residue is stationary, which is checked with the unit root test, then the series is considered to be cointegrated.
This is how cointegration is defined.
The subtlety is in "a", or more precisely in the detrending of the quotes.
The regression does not cointegrate with anything.
There are two series: EURUSD and GBPUSD. They are added with coefficients a and b.
Subtract the regression with the estimated coefficients a and b from the quotient.
If the residue is stationary, which is checked with the unit root test, then the series is considered to be cointegrated.
This is how cointegration is defined.
The subtlety is in "a", or more precisely in the detrending of the quotes.
1. EURUSD and GBPUSD are not cointegrated. You open the cross chart and everything is clear - there is no "eternal" flat.
2. If these series were cointegrated, regression would not be necessary. Co-integrated instruments are traded on convergence from the channel boundaries. It is only a question of finding the optimal weights of the instruments in the portfolio.
3. I demand that you immediately stop mocking econometrics! This is already taking on a systemic character! Enough!
1. EURUSD and GBPUSD are not cointegrated. You open the cross chart and everything is obvious.
2. if these series were cointegrated, no regression would be necessary. Co-integrated instruments are traded on convergence from channel boundaries. It is only a question of finding the optimal weights of the instruments in the portfolio.
3. I demand that you immediately stop mocking econometrics! This is already taking on a systemic character! Enough!