Pairwise regression code

[lbkova]

Hello All,

I would need a code to do pairwise regressions to test for cointegration relations among 8 variables with the Engle-Granger method (e.g. first running simple LS regressions then testing for the stationarity of the error terms). I know that it would mean running (n*(n-1))/2 (8*7/2=28) regressions. Could you please help me how I can run these regressions?

Many thans,

Laszlo

[EViews Gareth]

This should get you started:

Code: Select all

'make some data
create u 100

for !i=1 to 8
series x!i=nrnd
next


'perform regressions
group xs x*

equation eq

for !i=1 to xs.@count-1
   for !j=!i+1 to xs.@count
      %iname = xs.@seriesname(!i)
      %jname = xs.@seriesname(!j)
      eq.ls {%iname} c {%jname}
      eq.makeresids res_{%iname}_{%jname}
   next
next


[lbkova]

Hello Gareth,

This seems to be working... Great help! Many thanks!

Laszlo