QUANT - LAB ADF-GLS + COINT + VRT-WB [ERS]

ADF-GLS + COINT + VRT-WB [ERS] V9.2 INSTITUTIONAL
Institutional-grade econometric suite for unit root testing, cointegration analysis, and mean-reversion detection.
Unit Root Tests:

ADF-GLS (Elliott, Rothenberg & Stock, 1996) with MAIC lag selection
Phillips-Perron Z_t with Newey-West correction
KPSS stationarity test (confirmatory)
MZ-alpha test

Cointegration (Bivariate):

Engle-Granger two-step test (MacKinnon 2010 critical values)
Johansen Trace test (Osterwald-Lenum 1992 CVs)
Real-time spread Z-score with tick-by-tick updates

Mean-Reversion:

Variance Ratio Test (Lo-MacKinlay 1988)
Mammen Wild Bootstrap for heteroskedasticity robustness
Half-life estimation with 95% CI (delta method)

Diagnostics:

Ljung-Box Q(4) for residual autocorrelation
ARCH(4) test for heteroskedasticity
HAC standard errors (Newey-West)

Important:

Screening tool only — validate in Python/R/statsmodels
Beta SE is BIASED (generated regressor problem)
Johansen limited to bivariate systems
Bootstrap p-value resolution ~2-5%
NOT a trading system

References: ERS (1996), Lo & MacKinlay (1988), Engle & Granger (1987), Johansen (1988), MacKinnon (2010)