This repository contains code for my master's thesis "A Bayesian cointegration testing procedure with conditional prior odds" Aalto University School of Business, dept. of Finance
The dataset is not provided on GitHub due to licensing reasons. The data is obtained from CRSP and Thomson Reuters.
The script is heavily inspired by the work of Bracegirdle & Barber (Bayesian conditional cointegration, 2012), but is largely extended and modified by me. The MIT license is there because of the influences in the code.