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Co-integration

Posted: Sun Jan 03, 2010 12:13 am
by VladDemian
I need to perform a cointegration analysis between several market indexes. Should I use the raw data or the logarithm of the data? I've noticed that in most research the log is used but why?

Thank you

Re: Co-integration

Posted: Tue Jan 19, 2010 3:48 am
by bensamen
We usually use logarithm in time series data in order eliminate the non-stationary of the variance and to reduce the sum squared resid.