Hi everyone,
I am writing a code for cointegration between n (n=6 initially) pairs.
I have done the whole thing for 2 variables. There is a function coint(x1,x2)
that takes 2 inputs x1 and x2 and does the following:
coint<-function (x1,x2)
{
adfdata(x1)
adfdata(x2)
engle<-lm(x1~x2)
residual<-resid(engle)
adfresd(residual, k=1)
par(mfrow=c(2,1))
ts.plot(x1)
ts.plot(x2)
ts.plot(residual)
}
Where X1,x2,..,x6 are time series of length 250 or more
Where adfdata() is a function that calculates the adf test for x1 and x2. There
are 6 variables in total (x1,x2,...,x6) and I want to calculate this function
coint for the permutation of these variables. That is coint(x1,x2);
coint(x1,x3); coint(x1,x4);...coint(x6,x5) (without repetition because x1,x1
are cointegrated already)
I thought about creating an array with the combinations Xi,Xj and apply the
function to each combination in the array but I could not get it to work...
I would really appreciate if someone could help me on this!
Thank you,
Kind regards,
Thiago
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