Greetings!
My question is in regard to the lag lenght selection for johansen cointegration test.
I have almost 3 thousand daily observations of exchange rates. To identify( according to
information criteria) the appropiate lag lenght for J's test, i go to "var lag
selection...". The results points to 1 or 6(different criteria give different
results) day lag, anyhow they don't seem right to me. And i was thinking i shuold
test down at least 100 days and see if it changes. Any advices???
As a side note, when i run OLS under different coinfigurations I notice certain 100+ day
lag which are significant at 99% .
From: gretl-users-request(a)lists.wfu.edu
Subject: Gretl-users Digest, Vol 47, Issue 13
To: gretl-users(a)lists.wfu.edu
Date: Thu, 9 Dec 2010 12:00:03 -0500
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Today's Topics:
1. Re: Building Matrix Using the Dataset (Ignacio Diaz-Emparanza)
----------------------------------------------------------------------
Message: 1
Date: Thu, 09 Dec 2010 10:25:17 +0100
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza(a)ehu.es>
Subject: Re: [Gretl-users] Building Matrix Using the Dataset
To: Gretl list <gretl-users(a)lists.wfu.edu>
Message-ID: <4D00A07D.9010002(a)ehu.es>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed
El 07/12/10 14:16, Henrique Andrade escribi?:
>
> Dear Sven and Allin, I'd found a solution for my problem. Please take a
> look at the
> following script:
>
> *<script>*
> *scalar *mynumber = 9999
>
> *list *variables = 1
> *loop *i=2..144
> variables += $i
> *endloop*
>
> *loop foreach *i variables
> *series *$i = misszero($i) + missing($i)*mynumber
> *endloop*
>
> *matrix *A = { *dataset *}
> *</script>*
>
> Thanks for your help!
>
> Best regards,
> --
> Henrique C. de Andrade
Dear Henrique,
another alternative for your script:
<script>
open Dados.gdt
scalar mynumber = 9999
list variables = dataset
loop foreach i variables
series $i = ok($i)*$i + !ok($i)*mynumber
endloop
matrix A = { variables }
</script>
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOM?A APLICADA III (ECONOMETR?A Y ESTAD?STICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es
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