cointegration lag choice

[loooooo]

Hi all,

I wrote the code posted below, and seems to be working ok, except that the number of lags, which is needed to be specified as follows: grp.coint(s,numlag)
Here I want numlag to be called from the matrix "vl" but it only takes the default value 4, even with the code written as below.
What should be done?
Your help will be very much appreciated.

Code: Select all

%file = "C:\Desktop\Mydata.xls" wfopen(page=Sheet1) %file smpl 1/01/2005 1/01/2010 genr dbid = d(bid) genr dask = d(ask) var varl.ls 1 2 dbid dask show varl.laglen(20,vname = vl) close varl var varc.ls 1 2 bid ask close varc group grp bid ask grp.coint(s,vl(3))

[EViews Gareth]

Try extracting the number into a program variable first:

Code: Select all

group grp bid ask !temp = vl(3) grp.coint(s,!temp)

[loooooo]

This is working beautifully.
Thanks Gareth!!