What is the best command to return the % two stocks are cointegrated?

I am wondering what command is the best that will return the % average two stocks are cointegrated?

[Rick Rosson]

What does the term "cointegrated" mean in this context? Is it the same thing as "correlated" or is it something different?

[the cyclist]

Rick, guessing he means this: http://en.wikipedia.org/wiki/Cointegration. It's a term used in economics and finance.

Answer 1

[the cyclist]

Do you have the Economics Toolbox? I don't have it myself, but I expect there are functions in there that would help.

[Rick Rosson]

I think you mean the "Econometrics" Toolbox...

Answer 2

[Rick Rosson]

The Cyclist is correct. The Econometrics Toolbox has two functions that test for cointegration:

• The Johansen cointegration test: jcitest
• The Engle-Granger cointegration test: egcitest

For more information:

• doc jcitest
• doc egcitest

HTH.

Best,

Rick