Re: [Gretl-users] ADF P-value loop
On Thu, 20 Sep 2012, Aditya Nemani wrote:
I still have a simple coding question...
So essentially, I have a table with 20 columns and 6000 rows. Each row
represents a volatilty value for a specific time and I have this data for
~20 stocks in my specific universe. My question is, how do I create a loop
in GRETL where I run the Engle-Granger test on all possible permutations
for each Column (each stock name) and output a column with each pair (for
example Column A and Column B) and the level of co-integration (1- pvalue).
Look at the loop examples in the manual and give it a try. Show us
what you came up with and you may get some suggestions for
improvements. But don't just say, "Do it for me".
Allin Cottrell