KX Community

terryyao · ‎2022.01.13

hi all:

do anyone know kdb+ implement of Johansen cointegration test ?

regard

thanks

Laura · ‎2022.01.13

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

View solution in original post

rocuinneagain · ‎2022.01.13

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 `YEAR`Y`C!"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;`lr1`lr2`cvm`cvt]
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