[Gretl-users] ADF P-value loop

[Aditya Nemani]

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

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