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Well, now after trying again, it works properly.

I have no idea what have changed, but you may see yourself from my earlier example that the workfile was undated and consequently TA moving averages were from the future.

Let's see if this issue might occur one more time

Bollinger Bands: 1. It seems that the default series OUT_HIGH should be renamed OUT_LOW as it provides values for lower boundary (the same for OUT_LOW, change the name to OUT_HIGH) 2. The resulting default graph OUT_G that appears at the end of analysis would become more meaningful if you add the se...

Is it possible to download daily stock data into dated workfile? Weekly and monthly data are OK, but dailies are totally messed up: when the data are downloaded into undated workfiles most recent quotes appear at the top of the data sheet and consequently moving averages are calculated forward looki...

Sorry, you're right, for autoregressive AR(1) process presented in first post the formula is ln(0.5)/ln(b).

Mine is also correct I guess, but for Ornstein–Uhlenbeck representation.

Though this may sound counter-intuitive, it does matter which one of the two -- or three, or five -- variables you choose as a dependent variable. In general, you will follow the stats from Engle/Granger single equation test and choose the variable that is strongest in rejecting H0 (in humane langua...

This is a little bit tricky. Mean reverting value can only be reached in the limit (as the forecast horizon approaches to infinity). Therefore, "half-life" is the most common way of measuring the speed of mean reversion. This is to calculate the number of periods needed for the forecast t...

Thank you for the help

@recode will work for the first time, but when I use it for the second, it will overwrite the first results.
Any other suggestions?

I'm trying to assign +1 values to a 'trade' series when my 'res' (=residual) series is greater than standard deviation (=s) and -1 when my 'res' series less than negative standard deviation if res>s then series trade=1 else if res<-s then series trade=-1 endif endif but getting a message "NA fo...

Got it.
Quite interesting.
Thanks.

I'm running variance ratio test on three time series: 1. lkoh, original time series of LKOH stock prices. Data specification --> exponential random walk (the rest is default) 2. ll, which is log(lkoh). Data specification --> random walk 3. dl, which is dlog(lkoh). Data specification --> random walk ...

When trying to fill matrix by rows, any attempt to fill any row other than the first one encounters an error message: "Incorrect number of elements provided for fill" A simple code generating the error looks like this: create u 100 matrix(10,10) y y.fill(o=11,b=r) 1,1 There is no error, if...

Hello,

Is there a way to save results, i.e. tau statistic or p-values, from single equation cointegration tests like Engle-Granger, Phillips-Ouliaris etc?

The question in particular concerns performing and saving results from a rolling cointegration test.

Your answer is really appreciated.