2:41 a.m.
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
6:19 a.m.
On Fri, 17 Oct 2014, Matteo Chiorboli wrote:
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.
This should be close to what you need, if I'm not mistaken. The example
uses the AWM database (supplied with gretl) and 6 series, so you have 15
tests, but of course it should just be a matter of redefining the list
called X in the example. The procedure selects the best lag order via the
Hannan-Quinn criterion and uses the default choice for the
determinstic part ("unrestricted constant"). Of course, this can be
changed quite easily by suitably manipulating the function you find at the
top of the script. The return values are the small-sample ajdusted pvalues
for the trace test, for the hypotheses r = 0 and r = 1.
<hansl>
set echo off
set messages off
function matrix do_automated_joh_test(series x, series y)
var 8 x y --lagselect --silent
# use minimum hqc
scalar bestlag = iminc($test[,3])
coint2 bestlag y x --silent
ret = $pvalue
return ret[,1]'
end function
open AWM.gdt --quiet
consump = ln(PCR)
income = ln(YER)
invest = ln(ITR)
export = ln(XTR)
import = ln(MTR)
list X = consump income invest export import
scalar n = nelem(X)
scalar k = 1
matrix xvec = X
loop foreach i X --quiet
list Z = xvec[k+1:]
string s1 = varname(X[i])
loop foreach j Z --quiet
string s2 = varname(Z[j])
pvals = do_automated_joh_test($i, $j)
printf "%10s vs %10s: %8.5f", s1, s2, pvals
endloop
if k < nelem(X)-1
k++
else
break
endif
endloop
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
8:49 a.m.
Am 17.10.2014 um 08:19 schrieb Riccardo (Jack) Lucchetti:
On Fri, 17 Oct 2014, Matteo Chiorboli wrote:
> 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.
This should be close to what you need, if I'm not mistaken. The example
Of course Jack forgot to add that typically this list does not exist to
get your work done by others, so you should thank him double. If this is
part of an assignment for a course, from the point of view of your
professor I would almost call it fraud (if you fail to mention it).
Apart from that, econometrically it seems to me that this procedure will
produce a whole bunch of internal inconsistencies. Theoretically
cointegration is a transitive thing, so if x and y are (bivariately)
cointegrated, and y and z are, too, then x and z must also be
cointegrated. This will in general not be the outcome of all your
separate tests.
cheers,
sven
11:15 a.m.
can factor analysis be a solution to the above problem.
On 10/17/14, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 17.10.2014 um 08:19 schrieb Riccardo (Jack) Lucchetti:
> On Fri, 17 Oct 2014, Matteo Chiorboli wrote:
>
>> 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.
>
> This should be close to what you need, if I'm not mistaken. The example
Of course Jack forgot to add that typically this list does not exist to
get your work done by others, so you should thank him double. If this is
part of an assignment for a course, from the point of view of your
professor I would almost call it fraud (if you fail to mention it).
Apart from that, econometrically it seems to me that this procedure will
produce a whole bunch of internal inconsistencies. Theoretically
cointegration is a transitive thing, so if x and y are (bivariately)
cointegrated, and y and z are, too, then x and z must also be
cointegrated. This will in general not be the outcome of all your
separate tests.
cheers,
sven
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3 comments
4 participants
participants (4)
-
Matteo Chiorboli -
Narandra Dashora -
Riccardo (Jack) Lucchetti -
Sven Schreiber