I need a program which would look at a matrix of time series and run the johansen test for cointegration across all timeseries and return a list of results which would consisely display the cointegrated pairs
The program should be able to handle very large datasets (up to 500+ time series at once) The time series would be either in an excel spreadsheet or database structure we could design and would have their own date series so the corresponding dates would have to be matched
Can be in any language but either c++ or matlab is preferable.