EngleGrander in C#

The two step Engle-Grander cointegration test, to detect relationship between time series X(t) and Y(t).

• Form a new time series U(t) = X(t) - Y(t) and fit linear regression LM(t) for it
• Run Augmented Dickey-Fuller test against the residuals of LM(t) to check if U(t) is a stationary time series