Bayesian Conditional Cointegration

Due to popular demand, this website has been created to share code for the paper Bayesian Conditional Cointegration presented at ICML 2012. [supplementary] [arXiv.org]

Python

Jupyter notebooks are available

• one for the Bayesian test for cointegration, which you can view with nbviewer or even run with mybinder; and
• another for a demonstration of intermittent cointegration inference using the gas price data (SAP/ZEE) - nbviewer or mybinder.

R

A Jupyter notebook is available

• for the Bayesian test for cointegration, which you can view with nbviewer

If there is interest, I will try to find the time to release versions of my code in MATLAB, R, or even C. If you are interested, please get in touch.

I hope this code proves useful.

Chris Bracegirdle, April 2017.

Older information about the paper, my PhD thesis, and me is still available at my UCL homepage.