Hi,
I'm trying out different methods of calculating the spread of a pair. Normally I would use the beta output from an OLS regression in my calculation: "StockA - StockB * beta".
Now I' trying out the Johansen test for cointegration and I'm unsure how to use the eigenvectors to form my spread, should oth of my prices be multiplied by the eigenvectors ?
Help would be greatly appreciated .
A