Due to popular demand, this website has been created to share code for the paper Bayesian Conditional Cointegration presented at ICML 2012. [supplementary] [arXiv.org]
Jupyter notebooks are available
A Jupyter notebook is available
If there is interest, I will try to find the time to release versions of my code in MATLAB, R, or even C. If you are interested, please get in touch.
I hope this code proves useful.
Chris Bracegirdle, April 2017.
Older information about the paper, my PhD thesis, and me is still available at my UCL homepage.Contact me