Dickey-Fuller Optimization: Tackle Time Series Cointegration Head-on | by Diego Barba | May, 2022
Never mind the maneuvers; minimize the Dickey-Fuller statistic directly to achieve a stationary time series. Full Python code.Image by author.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:find the cointegrating vector (the method of your choice)do a stationarity test on the time series…