Automating Cointegration Test with EVIEWS
Posted: 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;))
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;))