Rolling cointegration
Posted: Thu Aug 19, 2010 1:48 pm
Hello,
Is there a way to save results, i.e. tau statistic or p-values, from single equation cointegration tests like Engle-Granger, Phillips-Ouliaris etc?
The question in particular concerns performing and saving results from a rolling cointegration test.
Your answer is really appreciated.
Is there a way to save results, i.e. tau statistic or p-values, from single equation cointegration tests like Engle-Granger, Phillips-Ouliaris etc?
The question in particular concerns performing and saving results from a rolling cointegration test.
Your answer is really appreciated.