cointegration test files

pentagram · January 1st, 2011, 2:09 pm

Happy new year all! I have coded up a cointegration procedudure and I was wondering where can I get some test files to test the accuracy of my code. Ideally, I guess the best test-files would be a bunch of time series with known p-values (for the ADF test) and known values for the other tests (which I haven't implemented yet). If anyone can point out collections of such files to test my code, I'd be most thankful !

AKalmykov · January 1st, 2011, 5:10 pm

Try looking here - http://www.stanford.edu/~clint/bench/This is a good question. You may ask a broader question - where to find good test data for various statistical procedures?

pentagram · January 1st, 2011, 6:05 pm

cheers for this ! indeed good data for various statistical procedures would be greatly appreciated, if anyone has more data to share, I'm all ears.QuoteOriginally posted by: AKalmykovTry looking here - http://www.stanford.edu/~clint/bench/This is a good question. You may ask a broader question - where to find good test data for various statistical procedures?

alderonarino · January 12th, 2011, 2:10 pm

Another resource is GRETL, http://gretl.sourceforge.net/ find a detailed example showing screenshots gretl-gide-a4.pdf and the corresponding data files on the site. I ran GRETL to confirm exact match.