Rolling Cointegration tests with "Roll" Feature

[Sheila]

Hi,

Could somebody please help me with the following. I would like to conduct dynamic cointegration tests in order to trace the time path of the trace statistics. I am using eviews 7 which has a "Roll" Add-in for conducting rolling regressions. However, when I try to use this feature to run rolling cointegration tests, I get the following error message, " Procedure can only be run in an equation object".

Essentially, I am trying to figure out how to use the Roll feature to conduct rolling cointegration tests. The goal is to conduct the tests on rolling monthly 3-year sub-samples, using 60 observations (constant sample), rolling over one period/step ahead each time.

Thank you!

[EViews Gareth]

The Rolling Regression Add-in can only be used to do Rolling Regressions.

If you want to perform rolling cointegration, you'll have to program it yourself from scratch. Taking a look at the Rolling Regression Add-in source code, or any of the numerous examples on this forum should get you started.

[Sheila]

Thanks Gareth.