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Q500US cointegration check

I am looking in to pair trading strategy, and wanted to run a cointegration check across securities in Q500US.

Taken reference from Stephan Botes' pipeline pair cointegration notebook, my notebook threw up an with an error: exog is not 1d or 2d, while running the cointegration check.

I cant figure out what the issue is. Appreciate if someone give me some pointers, thank you.

1 response

Hello,

here