Here is the sample ADF test in python to check for Cointegration between two pairs. However the final result gives only the numeric value for co-integration. How to get the historical results of Co-integration.
Taken from http://www.leinenbock.com/adf-test-in-python/
import numpy as np
import statsmodels.api as stat
import statsmodels.tsa.stattools as ts
x = np.random.normal(0,1, 1000)
y = np.random.normal(0,1, 1000)
def cointegration_test(y, x):
result = stat.OLS(y, x).fit()
return ts.adfuller(result.resid)
I assume you want to test for expanding cointegration? Note that you should use sm.tsa.coint
to test for cointegration. You could test for historical cointegrating relationship between realgdp and realdpi using pandas like so
import pandas as pd
import statsmodels.api as sm
data = sm.datasets.macrodata.load_pandas().data
def rolling_coint(x, y):
yy = y[:len(x)]
# returns only the p-value
return sm.tsa.coint(x, yy)[1]
historical_coint = pd.expanding_apply(data.realgdp, rolling_coint,
min_periods=36,
args=(data.realdpi,))
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