Cointegration Analysis of Oil Industry

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

diggetybo
Posts: 152
Joined: Mon Jun 23, 2014 12:04 am

Cointegration Analysis of Oil Industry

Postby diggetybo » Wed Feb 22, 2017 8:24 am

I'm looking to do a cointegration analysis of the oil industry, maybe a rolling regression too. The trouble is I'm unclear what variables would be most suitable.

For example, in the gold industry, it's common to perform a rolling regression of the stock symbols GLD and GDX (gold price and gold mining operations).

There are different oil price indices, and there seem to be different oil drilling stocks. I don't have enough industry background to know which two to go with. Has anyone tried cointegration analysis of oil stocks before, or is familiar with the existing literature to know what two oil stocks would be most analogous to the 2 gold stocks I mentioned above? If so, please recommend 2 stocks that I can look up on yahoo finance to try.

Thank you

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 10 guests