Dear Gretl users,
I need your help for running the Johansen test automatically on (n)
historic series, matched in pairs.
Substantially, I have 30 historic series, and I must test the cointegration
between all the possible pairs. Then, existing 435 possible pairs, I need
an automatic procedure to make this great number of Johansen tests.
Overall, I need a procedure that can run all possible cointegration tests
on a number of pairs of historic series given by the binomial coefficient
(combination), that in the specific case is n=30, k=2, then
[30!/(2!*(30-2)!]=435 pairs, and 435 Johansen tests.
Thank you for you help!
Matteo Chiorboli