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Collecting Data From Cointegration Tables

Posted: Wed Apr 13, 2011 10:20 am
by DanielArmani
Hi there,
Somebody helped me to write this part to get cointegration from my series (which i dont undrestand some part of it but does not matter as it works correctly), but the problem is I have to go through all the cointegration windows manually to get my data. I need to get name of each pair (series) which is A16 in the out-come table , and probability which is E13 in the table.

for !i = 1 to 20
for !j=1 to 20
if !j>!i then
group gr_{!i}_{!j} log_pr{!i} log_pr{!j} 'Creates a group of log prices to check for cointegration
freeze(coint_{!i}_{!j}) gr_{!i}_{!j}.coint(c,cvsize=0.05) 'Creates a copy (freezes) of coint table
%z_{!i}_{!j}_1 = (coint_{!i}_{!j}(16,1))
%z_{!i}_{!j}_2 = (coint_{!i}_{!j}(28,1))
endif
next
next

question is how can I arrange to collect the data that I need onto ONE table from all others that can be exported to Excel?

Also I need to get similar data from Equation, Depedent variable, Coefficients and S.E of regression.

Please advise me.
Thanks

Re: Collecting Data From Cointegration Tables

Posted: Sat Apr 30, 2011 11:26 pm
by Steve06
i'm also having the problem that the coint function does not have the option to return a matrix with all the results that normally show up in the output tables.
has anybody a solution to that?
can you somehow "grab" the relevant information from the output tables?

Re: Collecting Data From Cointegration Tables

Posted: Sun May 01, 2011 8:34 am
by EViews Gareth
The coint function does have a save= option that lets you save a lot of the statistics into a matrix. Failing that, you'll just have to use a table.