Specifically, I'm looking at 3 different commodity futures prices. I want to test that each is unit root and that they are cointegrated. Next, I'd like to apply a model to them to test if they (or a combination of them) are mean reverting.
What I want to see is the evolution of a margin of 3 prices. X=price 1 Y=price 2 Z=price 3 M=Margin
M = (X+Y)*a - Z
first I was going to ADF to test each series for unit roots.
Is it possible to test M directly for mean reversion? I'd like to be able to see when M is too high/low from historic margins and price. Could someone please help??