Collecting Data From Cointegration Tables
Posted: Wed Apr 13, 2011 10:20 am
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
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