EViews.com

Hello,

I desire to make Eviews implement automatically serial correlation and ADF tests for multiple windows of data. More specifically, I want to divide 22,000 return observations into non-overlapping windows of 100 observations and perform the autocorrelation and unit root test for each block. Moreover, I would prefer to have all results into a single matrix and not to copy the figures from 440 opened ones. Can this procedure be developed in Eviews? What are the involved steps?

Many thanks!
Chris

Should be pretty simple to do. Its essentially the same idea as a rolling regression, but rather than estimating an equation in each window, you're performing a test instead.

If you do a search on the forum for "rolling", you should get enough info to get you started.