Cointegration

maxdamamaxdama Member Posts: 7 Contributor II
edited November 2018 in Help

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

Answers

  • IngoRMIngoRM Administrator, Moderator, Employee, RapidMiner Certified Analyst, RapidMiner Certified Expert, Community Manager, RMResearcher, Member, University Professor Posts: 1,642  RM Founder
    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
  • maxdamamaxdama Member Posts: 7 Contributor II
    Thanks for the reply Ingo, it would be a useful feature.

    Max
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