[Gretl-users] ADF P-value loop

Allin Cottrell cottrell at wfu.edu
Thu Sep 20 22:39:25 EDT 2012


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




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