Cointegration

maxdama
maxdama New Altair Community Member
edited November 5 in Community Q&A

I am trying to test for cointegration between two series. I searched the documentation and I cannot find an applicable operator. Could you please explain how I can use rapidminer to test for this?

The dataset I am using as a toy example is 3 months of daily GLD (Gold) and GDX (Gold Miners) opening prices. Here's the excel file, with the data on the first sheet (ignore volume): http://dl.getdropbox.com/u/39904/Blog%20Datasets/GLDGDX%20Cointegration%20Data.xls

Thanks,
Max
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Answers

  • IngoRM
    IngoRM New Altair Community Member
    Hi Max,

    sorry, but I am afraid that only covariance and correlation are supported but not cointegration. Could be really interesting to add this to a future version.

    Cheers,
    Ingo
  • maxdama
    maxdama New Altair Community Member
    Thanks for the reply Ingo, it would be a useful feature.

    Max

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