Hi All,
I am trying to determine if two time series (closing prices of two
securities)are cointegrated. The two pass the eyeball test.
I have conducted both the Johansen and Engle-Granger tests. The results are
attached.
I don't know how to interpret the results. I was hoping for a big "YES",
"NO" or at least a "LIKELY" at the end of the tests.
If anyone would tell me which statistics I should be looking at and how to
interpret them, I would sure appreciate it.
If you are kind enough to do that, please speak slowly because I am not a
data scientist!
Best regards,
MikeC