Finding Shortcuts for Jarque-Bera and ADF Statistics
Posted: Wed Jan 27, 2010 5:50 am
Dear all,
Greetings from Switzerland.
I am currently using EViews to analyze securities' data. I work with 50 portfolios and wish to study the statistical properties of the variables before proceeding to modelling. Therefore, I check for the stationarity of the financial returns (the variables X, thanks to an ADF test) as well as for the normality of this data (thanks to a Jarque-Bera test).
EViews can compute manually Jarque-Bera and ADF tests on separate windows, and this can be done for each security individually. Nonetheless, I would like to compute a vector/matrix with the p-values of these two tests and the values of these tests.
Unfortunately, I can't find the shortcut for these values when programming. As I am writing with time series, I compute descriptive statistics of X such as:
matrix(X,4) my_output
my_output(X,1) = @mean(X)
my_output(X,2) = @stdev(X)
my_output(X,3) = @JARQUE-BERA(X)?
my_output(X,4) = @ADF-TSTATS(X)?
And one can see that I can't find the programming shortcuts for these tests. I tried to look everywhere in the Help section, but still couldn't find it.
Does anyone know such shortcuts, or has another method in mind to compute these statistics in a single vector/matrix? They do not appear anywhere as far as I could observe :(
Thank you a lot for your attention! Great forum
Greetings from Switzerland.
I am currently using EViews to analyze securities' data. I work with 50 portfolios and wish to study the statistical properties of the variables before proceeding to modelling. Therefore, I check for the stationarity of the financial returns (the variables X, thanks to an ADF test) as well as for the normality of this data (thanks to a Jarque-Bera test).
EViews can compute manually Jarque-Bera and ADF tests on separate windows, and this can be done for each security individually. Nonetheless, I would like to compute a vector/matrix with the p-values of these two tests and the values of these tests.
Unfortunately, I can't find the shortcut for these values when programming. As I am writing with time series, I compute descriptive statistics of X such as:
matrix(X,4) my_output
my_output(X,1) = @mean(X)
my_output(X,2) = @stdev(X)
my_output(X,3) = @JARQUE-BERA(X)?
my_output(X,4) = @ADF-TSTATS(X)?
And one can see that I can't find the programming shortcuts for these tests. I tried to look everywhere in the Help section, but still couldn't find it.
Does anyone know such shortcuts, or has another method in mind to compute these statistics in a single vector/matrix? They do not appear anywhere as far as I could observe :(
Thank you a lot for your attention! Great forum