How about this?
untested since no data is provided.
a <- paste("x",1:6,sep="")
b<- combn(a,2)
coint<-function (x)
{
x1 <- get(x[1])
x2 <- get(x[2])
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)
}
apply(b,2,coint)
Careful with the plots, you may just overwrite them on default device.
One way to overcome it is to plot them to a pdf and name them
appropriately for each iteration.
Nikhil Kaza
Asst. Professor,
City and Regional Planning
University of North Carolina
nikhil.l...@gmail.com
On Aug 11, 2010, at 6:34 AM, Ferreira, Thiago Alves wrote:
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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and provide commented, minimal, self-contained, reproducible code.
