Dynamic ADF test
Posted: Mon Oct 05, 2009 6:12 am
Dear trubador and other experts in Eviews programming,
I explain my problem. I have to run a dynamic ADF test on residuals of a DOLS (Stock-Watson (1993)) estimation. That is, since that I work with quarterly data, I have to repeat the DOLS estimation every quarter, generate the residuals serie of the estimation, make the test on residuals and copy the value in a table. Anyone could be so kind to help me to suggest how I can make all these oprations in a program language? Thanks.
Davide
I explain my problem. I have to run a dynamic ADF test on residuals of a DOLS (Stock-Watson (1993)) estimation. That is, since that I work with quarterly data, I have to repeat the DOLS estimation every quarter, generate the residuals serie of the estimation, make the test on residuals and copy the value in a table. Anyone could be so kind to help me to suggest how I can make all these oprations in a program language? Thanks.
Davide