Hello there,
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).
Ultimately, I would like to be able to see which combination (of stock volatilities) are the most cointegrated.
Thanks again and I really hope to hear from you soon!
-A