Libraries: Cointegration: ADF, Engle-Granger and Johansen tests with a pair scanner
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Cointegration: ADF, Engle-Granger and Johansen tests with a pair scanner:
Unit root and cointegration tests (ADF, Engle-Granger, Johansen) with MacKinnon p-values, hedge ratio, half-life and z-score of the spread, and a pair scanner.
Author: Mohamed-amine Baddir