Filtering regressions with significant parameters

[Rantul]

I have calculated 37,200 regressions and I would like to filter out those that have all their significant parameters at 5%, is it possible to program this?

[EViews Gareth]

Yes.

[Rantul]

how??

[startz]

I'm just curious as to why you want to do this?

[Rantul]

I need to choose within a combination of time series models (garch models), and I need the model with the best information criterion to have all the parameters significant at least 5% (and that the residuals are random). with 37,200 calculated regressions, I wanted to know if there is a faster way

PD: for a AG-DCC model

[startz]

I can see looking at the information criterion. But why would you specify that all the coefficients should be significant?

[Rantul]

To make sure than the GARCH model is well specified. If the variance has no asymmetry, it does not make sense to use a GARCH with asymmetry to model the residuals. (i need to calculate the standard residuals)