Automating Cointegration Test with EVIEWS

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colonia_space
Posts: 7
Joined: Thu Jun 16, 2011 1:09 am

Automating Cointegration Test with EVIEWS

Postby colonia_space » Tue Jun 28, 2011 5:40 am

hi you guys,
i have to perform several cointegration tests, each analysing an 5 year subsample of an larger sample of 20 yyears. we are talking about monthly data, so there are around 230 overvations. It's only about 2 time series. There are both I(1) and i have to proof that they are CI(1,1). Data starts in 1991. So the first test shall contain the years 1991-1995 and test whether there is a cointegration between the two series. The second test then shall proceed with the years 1992-1996, third test 1993-1997 and so on. The thing is that I want to know whether cointegration has changed over time.

Because I do not what to do build 20 subsamples and perform the 15 cointegration test one by one my idea was to write a program which can do that for me. Also for learning a little bit about the Programming language, because my problem is that I've no idea about the EViews programming language.
do anyone know how to set up such a program.
as i said it would have to do the following:
1. build a sub-sample out of my sample containing the years 1991-1995
2. perform an cointegration test (Johansen) on this sub sample. at first standard settings of this test will do fine.
3. repeat steps one and two with an one-year update until the time span from 2006-2011. So steps 1 and 2 have to have repeated 15 times all in all.

I'm looking forward to your repeats;))
Last edited by colonia_space on Tue Jun 28, 2011 11:43 pm, edited 1 time in total.

colonia_space
Posts: 7
Joined: Thu Jun 16, 2011 1:09 am

Re: Automating Cointegration Test with EVIEWS

Postby colonia_space » Tue Jun 28, 2011 11:38 pm

i have to impress the urgence of this matter. i would be extremely thankful if anybody could help me with this problem :)

colonia_space
Posts: 7
Joined: Thu Jun 16, 2011 1:09 am

Re: Automating Cointegration Test with EVIEWS

Postby colonia_space » Wed Jun 29, 2011 3:52 am

Hallo,
i'ev done it manually, but i'm still interested in the program code;)

colonia_space
Posts: 7
Joined: Thu Jun 16, 2011 1:09 am

Re: Automating Cointegration Test with EVIEWS

Postby colonia_space » Wed Jun 29, 2011 5:00 am

my internship adviser punishes me if i don't get this code until today's evenining. please help me;))

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Automating Cointegration Test with EVIEWS

Postby EViews Gareth » Wed Jun 29, 2011 6:49 am

What have you tried so far?

colonia_space
Posts: 7
Joined: Thu Jun 16, 2011 1:09 am

Re: Automating Cointegration Test with EVIEWS

Postby colonia_space » Wed Jun 29, 2011 7:01 am

first thing is, i need to know how to extract certain elements out of a season and create another season with this elements.
i would have to do this for each 5 year time intervall. So lateron that should be automated with an while or if argument, but first i need the right commands for extracting the subsample and build another series with the subsample.


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