Create a vector which lists p-values from rolling regrssion

[shahana]

Hi,

When I conduct a rolling regression, I use the following command to to obtain the output, in addition to 2 vectors which contain the t-statistics and the beta (regression) co-efficients from each regression:

Code: Select all

for !horizon=1 to 155 smpl 1992m12+!horizon 1995m05+!horizon equation output{!horizon}.arch(1,1) y c x matrix output_coeff{!horizon}=output{!horizon}.@coefs matrix output_tstats{!horizon}=output{!horizon}.@tstats

However, I also want to create a similar vector which reports the p-values associated with the (respective) t-statistics from each regression. How can I go about doing the above?

[EViews Gareth]

There is no inbuilt command to retrieve the p-values from an equation. You'll have to calculate them manually using the t-statistics.