Metadata-Version: 2.1
Name: mean-reversion-util
Version: 0.0.3
Summary: Time Series mean reversion utilities
Home-page: https://github.com/gjlr2000/johansen3.git
Author: Gerardo Lemus
Author-email: gerardo@alum.mit.edu
License: MIT
Platform: UNKNOWN
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 2
Classifier: Programming Language :: Python :: 2.7
Description-Content-Type: text/markdown
Requires-Dist: scipy (>=0.18.0)
Requires-Dist: statsmodels (>=0.6.1)
Requires-Dist: numpy (>=1.11.1)
Requires-Dist: pandas (>=0.18.1)

# johansen
Python implementation of the Johansen test for cointegration

Installation notes:

This package requires scipy, which in turn  requires blas, lapack, atlas, and
gfortran. These can be installed on a Ubuntu system with:

    sudo apt-get install libblas-dev liblapack-dev libatlas-base-dev gfortran

Examples:

See examples folder for a jupyter notebook with example usage.

NOTE:

The cases when the chosen model (in the language of MacKinnon 1996) is 1\* or 2\* have not yet been fully implemented. They will be completed in the near future.


