Cointegration test (in a loop function)

Morten

2013 9 16

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7 次查看（30 天）

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Hi,

I have a n x m dimensional matrix consisting of "n" stock price observations and "m" stocks. I call this matrix "StockPrices" in the example.

I want to run a number of cointegrating regressions on each of the possible pairs of stocks and store the test statistics in a matrix.

That is, I want to first use stock 1 as the dependent variable and regress it on all other stocks, i.e. stock 2, 3, 4 etc, one at a time.

Next, I want to use stock 2 as the dependent variable, and regress it on stock 1, 3, 4., etc. I am using the "cadf" function. How to a write a loop that prevents me from regressing stock 1 on stock 1, and stock 2 on stock 2, etc.?

My initial thought (without adressing the above problem):

for i=1:m;for j=1:m;
      y=StockPrices(:,i);
          x=StockPrices(:,j);
              results=cadf(y, x, 0, 1); 
          Test statistics(i,j)=results.adf;
end;
  end;