Due to recent updates, all users are required to create an Altair One account to login to the RapidMiner community. Click the Register button to create your account using the same email that you have previously used to login to the RapidMiner community. This will ensure that any previously created content will be synced to your Altair One account. Once you login, you will be asked to provide a username that identifies you to other Community users. Email us at Community with questions.

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 Employee, RapidMiner Certified Analyst, RapidMiner Certified Expert, Community Manager, RMResearcher, Member, University Professor Posts: 1,751 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
Sign In or Register to comment.