Multiple Cointegration Tests

[andwoo8182]

Hi there,

Im busy with a Finance Honours thesis, and I am currently running co-integration tests on share price series to find relationships, but I would like to know how I can run multiple tests, so that all series are tested against each other, in pairs. Is this possible? Anyone know how? I'm not too clued on the programming side of Eviews but I'm open to try.

Thanks,
Andrew

[trubador]

There are plenty of ways in EViews to accomplish such a task. For instance, you can put all your series into a group (e.g. mygroup) and then draw the series in pairs prior to conducting your VEC analysis:

Code: Select all

for !i=1 to mygroup.@count-1
  for !j=!i+1 to mygroup.@count
     var eq{!i}_{!j}.ec 1 4 mygroup(!i) mygroup(!j)
  next
next

You should first read the manual to learn for more on the available commands and functions, which will help you build a model that suits to your own need.