Re: [Gretl-users] Loop for differencing non-stationary time series
On Thu, 18 Oct 2012, Marcin Pietrzak wrote:
Hi,
I want to write a loop which will test a time series for non-stationary and
if it do not pass ADF test the loop will automatically produce first
differences.
loop foreach i xlist
adf 40 xlist.$i --test-down
genr p.$i = $pvalue
if p.$i > 0,05
genr d_xlist.$i = diff(xlist.$i)
endloop
Gretl has some problems with if, it shows that it is not correct. Do
anybody have any idea?
... and all of a sudden you realise you're stuck in a time loop, and
things you've already seen will repeat again, and again, and again... and
there's no escape... and you desperately want to wake up from this
nightmare... but noooo, you can't....
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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