Johansen Cointegration Test

[cdrnet]

From: https://mathnetnumerics.codeplex.com/workitem/5730

Would like to see support for Johansen test.

http://www.mathworks.com/help/econ/jcitest.html
http://en.wikipedia.org/wiki/Johansen_test

[jaredbroad]

Bump. Any plans @cdrnet? @mchandschuh

[cdrnet]

How would an API design for this ideally look like, that would support your use case in a clean way?

[mchandschuh]

Ideally the API would support usage similar to this python implementation.

Following along the lines of the Correlation class, I could see something like the following in C#:

var result = Cointegration.Johansen(Matrix<double> matrix, int order, int laggedDifferences);

[glyphard]

This suggested API makes sense.

FWIW, the suggested api is reasonably consistent with the R package for
Johansen Cointegration Test (urca). It is a little bit different than the
matlab econometrics toolbox version of Johansen Cointegration, but that is
probably ok because the matlab api is older and offers a lot more complex
control over the implementation details which likely wouldn't be built into
a first version of JCI in mathnet.

On Fri, Sep 18, 2015 at 2:30 AM, Michael notifications@github.com wrote:

Ideally the API would support usage similar to this python
https://github.com/josef-pkt/statsmodels/blob/coint/statsmodels/tsa/johansen.py
implementation.

Following along the lines of the Correlation class, I could see something
like the following in C#:

var result = Cointegration.Johansen(Matrix matrix, int order, int laggedDifferences);

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[Levitikon217]

Any updates on this? It would be really cool if any Cointegration support was added. Johansen or Augmented Dickey Fuller (ADF)!