Johansen cointegration test kdb+ implement

Community Support
1

hi all:

    do anyone know kdb+ implement of Johansen cointegration test ?

regard

thanks

2

Hi  ,

I haven’t seen the implementation done in kdb+, however we do have over 121 interfaces and connectors including Python and R, which (after a brief google) I was able to see implementation examples of online. 

If you are working on this implementation in kdb+, we would love you to share with the Community, I know many of us would be very interested to see your approach!

Good luck, and thanks for your question,

Laura

 

3

You could use the python statsmodels.tsa.vector_ar.vecm.JohansenTestResult by importing it through EmbedPy and passing the data as a dataframe using mltab2df.

 

Below is an example based of a similar python version: http://web.pdx.edu/~crkl/ceR/Python/example14_3.py

 

$pip install statsmodels

 

q)\l p.q q)\l ml/ml.q q).ml.loadfile:init.q q)data:flip YEARYC!“IFF”$flip 1_-12_{{x where not “”~/:x}" " vs x} each “\r\n” vs .Q.hg “http://web.pdx.edu/~crkl/ceR/data/usyc87.txt” q)coint_johansen:.p.import[statsmodels.tsa.vector_ar.vecm;:coint_johansen] q)pd:.ml.tab2df[data][:set_index;"YEAR"] q)res:coint_johansen[pd;0;2] q)res[:lr1] 31.78169 12.17119 -1.566747e-012 q)res[:lr2] 19.6105 12.17119 -1.566747e-012 q)res[:cvm] 18.8928 21.1314 25.865 12.2971 14.2639 18.52 2.7055 3.8415 6.6349 q)res[:cvt] 27.0669 29.7961 35.4628 13.4294 15.4943 19.9349 2.7055 3.8415 6.6349 q){flip y!(x@/:hsym y)@\:}[res;lr1lr2cvmcvt] lr1 lr2 cvm cvt ---------------------------------------------------------------------------- 31.78169 19.6105 18.8928 21.1314 25.865 27.0669 29.7961 35.4628 12.17119 12.17119 12.2971 14.2639 18.52 13.4294 15.4943 19.9349 -1.566747e-012 -1.566747e-012 2.7055 3.8415 6.6349 2.7055 3.8415 6.6349