Dickey-Fuller Optimization: Tackle Time Series Cointegration Head-on

Never mind the maneuvers; minimize the Dickey-Fuller statistic directly to achieve a stationary time series. Full Python code.

There are many methods for finding cointegrating vectors. Some methods leverage OLS, others matrix eigendecomposition. Regardless of the method, it is customary to do a sanity check by performing a stationarity test on the resulting time series.

The workflow goes something like this:

1. find the cointegrating vector (the method of your choice)
2. do a stationarity test on the time …

cointegration head optimization series statistics time time series time-series-analysis