Cointegration Finder

gistfile1.r

# calculates the best vector of cointegration for a group of series.
#
# @param series A matrix with the series in columns
#
# @return The best vector of cointegration.
#
get_coint = function(series){
  # does this by performing a regression of time on
  # a linear combination of the series, but only take
  # the slope parameter
  m = dim(series)[1]
  t = 1:m - (1 + m) / 2
  sst = t %*% t

  func = function(alpha){
    # get the square of the slope parameter
    (( t %*% (series %*% alpha) ) / sst) ** 2
  }

  # initial value is a vector of ones
  start = seq(1, 1, length = dim(series)[2])

  # give the parameters alpha that minimize the square of the slope
  optim(start, func)$par
}