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Posted: **Wed Apr 15, 2009 2:32 am**

Hello All,

I would need a code to do pairwise regressions to test for cointegration relations among 8 variables with the Engle-Granger method (e.g. first running simple LS regressions then testing for the stationarity of the error terms). I know that it would mean running (n*(n-1))/2 (8*7/2=28) regressions. Could you please help me how I can run these regressions?

Many thans,

Laszlo

Posted: **Wed Apr 15, 2009 8:08 am**

This should get you started:

Code: Select all


'make some data
create u 100

for !i=1 to 8
series x!i=nrnd
next


'perform regressions
group xs x*

equation eq

for !i=1 to xs.@count-1
	for !j=!i+1 to xs.@count
		%iname = xs.@seriesname(!i)
		%jname = xs.@seriesname(!j)
		eq.ls {%iname} c {%jname}
		eq.makeresids res_{%iname}_{%jname}
	next
next

Posted: **Wed Apr 15, 2009 8:26 am**

Hello Gareth,

This seems to be working... Great help! Many thanks! :D

Laszlo

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