I have the following dataset referring to daily observations for a bunch of US stocks:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float period double(apple microsoft ge gm wmt) float time 21551 155.214005 99.375191 7.709427 32.282429 91.487152 503 21552 139.75354 95.719376 7.719004 30.948524 91.016685 504 21553 145.719513 100.171211 7.881812 31.984938 91.58517499999999 505 21556 145.39520299999998 100.298965 8.370234 32.973372999999995 92.663338 506 21557 148.16687 101.02619899999999 8.197851 33.405215999999996 93.310226 507 21558 150.682983 102.47082499999999 8.140388 33.760281 93.00638599999999 508 21559 151.164627 101.812401 8.561772999999999 33.328441999999995 93.074997 509 21560 149.680466 101.02619899999999 8.561772999999999 35.679569 92.957375 510 21563 147.42971799999998 100.289146 8.523465999999999 36.140198 93.065193 511 21564 150.447128 103.198067 8.360657999999999 36.034637 94.339394 512 21565 152.28508 103.561684 8.600081 36.149792 94.437401 513 21566 153.189301 104.288918 8.753312 36.715981 94.81966399999999 514 21567 154.132858 105.851479 8.676696 37.051860999999995 95.790016 515 21571 150.673172 103.856506 8.293619 36.610424 95.554771 516 21572 151.282547 104.868729 8.360657999999999 36.149792 96.750557 517 21573 150.08343499999998 104.367531 8.408543 36.620022 96.40750899999999 518 21574 155.056747 105.320793 8.772466999999999 37.080647 95.015694 519 21577 153.62176499999998 103.26686099999999 8.552197 36.907909 95.133308 520 21578 152.02951 101.163788 8.523465999999999 36.917511 94.79025999999999 521 21579 162.418411 104.544426 8.715005 37.512493 92.918182 522 21580 163.587997 102.628075 9.730159 37.445313 93.927734 523 21581 163.666641 101.006546 9.75889 37.214996 91.99683399999999 524 21584 168.315582 103.915466 9.778043 37.358948 92.888756 525 21585 171.195389 105.369934 10.180275 37.714016 93.702293 526 21586 171.25436399999998 104.20047 10.027042999999999 38.299392999999995 93.74149299999999 527 21587 168.01091 103.453575 9.63439 37.090247999999995 94.809868 528 21588 168.208328 103.84667999999999 9.394966 37.138225999999996 93.68268599999999 529 21591 167.24096699999998 103.433922 9.605659 37.071056 94.290375 530 21592 168.68211399999998 105.045631 9.557775 37.454906 95.04510499999999 531 21593 167.981277 104.96700299999999 9.931274 37.426120999999995 95.99584999999999 532 21594 168.593292 105.05545 9.615235 37.32056 96.564323 533 21595 168.218201 106.35267599999999 9.663121 37.512493 98.00515 534 21599 168.721588 106.30354299999999 9.701428 37.934731 100.171272 535 21600 169.807388 105.75085399999999 9.672697 38.337779999999995 97.897331 536 21601 168.84993 107.981354 9.605659 38.021099 97.41706099999999 537 21602 170.735229 109.520973 9.739735 38.376166999999995 97.573875 538 21605 171.978958 110.132874 10.362236 38.520115 97.15241999999999 539 21606 172.077667 110.892822 10.617365999999999 38.491324999999996 96.73095699999999 540 21607 172.61068699999998 110.705299 10.836485999999999 38.385765 96.16246799999999 541 21608 170.912918 110.56713099999999 10.348446 37.886749 97.02499399999999 542 21609 172.70938099999998 111.060608 10.228926 37.934731 95.986038 543 21612 173.578033 110.794128 10.338485 37.666031 95.907623 544 21613 173.262161 110.24143199999999 9.850446 37.69482 96.387909 545 21614 172.26522799999998 110.290787 9.073564 37.109435999999995 96.309494 546 21615 170.27131699999998 108.94854 9.412205 36.867149 95.51557199999999 547 21616 170.67602499999998 109.06697799999999 9.551793 36.818687 95.652794 548 21619 176.588608 111.35668899999999 9.870851 37.429263999999996 96.525131 549 21620 178.57266199999998 112.13636799999999 9.731263 37.429263999999996 96.417313 550 21621 179.36231999999998 113.004875 9.990497999999999 37.60371 97.06420899999999 551 21622 181.356216 113.09369699999999 10.269673 36.857451999999995 96.78828399999999 552 21623 183.715332 114.396469 9.930674999999999 36.896217 96.985374 553 21626 185.590805 116.03478199999999 10.169967 36.808997999999995 98.207298 554 21627 184.120056 116.11374699999999 10.159996 37.090057 98.394531 555 21628 185.72898899999998 115.98544299999999 10.189909 35.859210999999995 97.202164 556 21629 192.569427 118.65019199999999 10.239761 36.198418 97.616035 557 21630 188.58165 115.521576 9.950614999999999 35.316479 96.84741199999999 558 21633 186.301483 116.123627 9.850909 35.616917 96.739014 559 21634 184.376678 116.370346 10.070262 35.733219 96.88681799999999 560 21635 186.03497299999998 115.245224 9.930674999999999 35.481235999999996 95.79300699999999 561 21636 186.281738 115.403145 9.86088 35.917366 95.71417199999999 562 21637 187.49586499999998 116.399963 9.960586 35.956126999999995 96.108345 563 21640 188.76921099999998 117.465858 10.070262 36.595779 96.39411199999999 564 21641 191.51328999999998 117.633636 10.209849 36.644238 95.52694699999999 565 21642 192.826111 118.403458 10.070262 37.206351999999995 95.773308 566 21643 193.16168199999998 117.80142199999999 10.000466999999999 37.594021 96.679886 567 21644 194.454758 118.32449299999999 9.980526 37.739395 97.389397 568 21647 197.51470899999998 118.363968 9.462057 37.855700999999996 97.783569 569 21648 196.92247 117.72245 9.192853 37.661865 97.25143399999999 570 21649 198.027985 118.620583 9.13303 38.039840999999996 98.14817 571 21650 196.37957799999998 118.75875099999999 9.093147 38.117371 99.330688 572 21651 196.300613 119.370651 8.973500999999999 38.485653 100.07959 573 21654 196.65596 119.469353 8.953559 38.349972 100.93692 574 21655 196.675705 119.193001 9.113089 38.437199 101.429626 575 21656 200.505585 120.179947 9.093147 38.757023 101.65628099999999 576 21657 201.226151 121.759056 9.322471 39.057465 101.67598699999999 577 21661 201.887497 122.143959 9.292558999999999 38.282131 100.877792 578 21662 204.799362 123.802032 9.302529 38.601959 101.56758099999999 579 21663 204.48350499999998 123.377647 9.292558999999999 38.495349999999995 102.020882 580 21664 202.627808 127.463577 9.093147 37.904156 102.01102399999999 581 21665 201.660461 128.193909 9.541820999999999 38.456585 100.050041 582 21668 201.96646099999998 128.075485 9.70135 38.776402 100.07959 583 21669 198.077362 128.894653 10.140055 37.749092 101.340942 584 21670 207.80011 126.21015899999999 10.070262 37.555251999999996 99.882515 585 21671 206.4478 124.561966 10.21982 37.070671 99.675575 586 21672 209.014221 127.216843 10.469083999999999 37.60371 100.59202599999999 587 21675 205.78646899999998 126.476624 10.399289999999999 36.915604 100.966476 588 21676 200.23907499999999 123.880966 10.080231999999999 37.342037 99.82339499999999 589 21677 200.27853399999998 123.871117 10.130085 37.031901999999995 98.837975 590 21678 198.12670899999998 123.861244 10.010437999999999 36.421329 98.610115 591 21679 195.381973 125.469955 10.100173 36.721771 100.957977 592 21682 184.026489 121.739311 9.840938999999999 35.432777 98.956841 593 21683 186.939667 123.101303 10.289614 35.89798 99.353104 594 21684 189.179062 124.83483899999999 10.229790999999999 36.2178 98.94693 595 21685 188.346725 127.717468 10.100173 36.227497 100.363571 596 21686 187.276581 126.86556999999999 9.970557 35.859210999999995 99.91778599999999 597 21689 181.420471 125.032967 9.850909 35.830138999999996 100.571609 598 21690 184.89846799999998 125.70657299999999 9.930674999999999 35.985203 100.17536199999999 599 21691 181.113281 126.46932199999999 9.870851 34.453918 101.274986 600 21692 178.02174399999998 124.99333999999999 9.531851999999999 34.046867 100.90844 601 21693 177.338043 125.052765 9.422175 34.037178 101.710869 602 21697 176.604782 124.973534 9.332441 33.775497 101.463211 603 21698 175.762527 123.76499899999999 9.34241 33.717349999999996 101.166016 604 21699 176.674149 124.547562 9.442117 33.746429 101.23535899999999 605 21700 173.473602 122.516846 9.412205 32.312056999999996 100.492363 606 21703 171.719727 118.712952 9.501939 32.660956999999996 101.00750699999999 607 21704 178.001923 122.00174 9.970557 34.628364999999995 101.60189799999999 608 21705 180.87545799999998 124.64662899999999 9.86088 34.734978 103.444519 609 21706 183.531036 126.61791199999999 9.890792 34.470497 104.128075 610 21707 188.416077 130.16423 9.950614999999999 34.764362 105.069199 611 21710 190.823929 131.35296599999998 10.020408999999999 35.273727 106.515564 612 21711 193.033585 130.857666 10.090202999999999 35.459846 106.931648 613 21712 192.41925 130.253403 10.249732 34.940681 107.803421 614 21713 192.379593 131.075592 10.279644 35.283524 107.63501 615 21714 190.98246799999998 131.204376 10.199878 34.930884999999996 108.051086 616 21717 192.12197899999998 131.600616 10.020408999999999 35.40107 108.14025099999999 617 21718 196.64039599999998 133.888885 10.389319 35.949622999999995 108.625671 618 21719 196.065689 134.41391 10.309555 36.027988 108.59595499999999 619 21720 197.64119 135.66203299999998 10.598701 36.204308 109.289406 620 21721 196.967377 135.68187 10.449142 36.165123 110.091843 621 21724 196.76921099999998 136.484238 10.249732 36.204308 110.200806 622 21725 193.786667 132.17514 10.189909 36.909583999999995 109.685677 623 21726 197.97808799999999 132.67044099999998 10.239761 37.350384 109.13091299999999 624 21727 197.91863999999998 132.888367 10.369378 37.536499 109.07146499999999 625 21728 196.115219 132.70018 10.47916 37.742202999999996 109.45781699999999 626 21731 199.712143 134.403992 10.608901999999999 37.957706 109.586609 627 21732 200.881363 135.295517 10.598922 37.556090999999995 110.55744899999999 628 21733 202.54605099999998 136.167252 10.588941 37.379771999999996 111.270721 629 21735 202.367676 135.771011 10.47916 37.712821999999996 110.933899 630 21738 198.19607499999998 135.671951 10.179755 37.448341 111.666985 631 21739 199.404968 135.17666599999998 10.229656 37.301407 111.825493 632 21740 201.376816 136.553604 10.179755 37.320999 111.924561 633 21741 199.91030899999998 137.098404 10.089933 37.644248999999995 112.855774 634 21742 201.446182 137.593704 10.349418 38.408302 113.529427 635 21745 203.33875999999998 137.593704 10.249616999999999 38.555237 113.90587599999999 636 21746 202.635223 135.790817 10.359399 38.623805999999995 113.687935 637 21747 201.495712 134.988449 9.960192 38.359325 113.529427 638 21748 203.784653 135.137039 10.040034 38.320141 113.648308 639 21749 200.74264499999998 135.33514399999999 10.020073 38.672782999999995 112.835968 640 21752 205.33042899999998 137.12811299999998 10.189734999999999 39.04501 111.766052 641 21753 206.93563799999998 137.980042 10.628860999999999 39.877632 111.04287 642 21754 206.767212 139.396591 10.658802999999999 40.044159 110.95371999999999 643 21755 205.132263 138.871582 10.409298999999999 39.916816999999995 111.171661 644 21756 205.845688 140.01075699999998 10.489141 39.936405 111.964188 645 21759 207.76799 139.703674 10.359399 39.848248 111.22119099999999 646 21760 206.87618999999998 139.03007499999998 10.499120999999999 39.603355 111.01315299999999 647 21761 211.097366 134.988449 10.429257999999999 39.515198 109.348846 648 21762 206.529373 136.761597 10.059994 39.329082 108.35818499999999 649 21763 202.159607 135.612503 9.980153 38.966648 108.37799799999999 650 21766 191.576981 130.96662899999998 9.640827 38.212387 104.831451 651 21767 195.203613 133.423309 9.551005 38.280964 106.267899 652 21768 197.22500599999998 134.007736 9.441224 38.584621 107.18920899999999 653 21769 201.57498199999998 137.583801 9.471164 39.280105999999996 108.03540799999999 654 21770 199.91392499999998 136.414917 9.131839 38.800125 106.80094899999999 655 21773 199.406647 134.512939 9.032038 38.06546 104.750153 656 21774 207.851212 137.296539 9.331443 38.212387 106.930374 657 21775 201.664505 133.161926 9.012077 36.429604 105.725769 658 21776 200.659912 132.863754 7.994102 35.724326999999995 112.186798 659 21777 205.394424 135.298813 8.772553 36.243488 112.485451 660 21780 209.223816 137.564896 8.652792 36.596129999999995 113.301788 661 21781 209.23376499999998 136.421906 8.363368 36.204308 111.549652 662 21782 211.501556 137.94255099999998 8.143805 36.361031 111.51978299999999 663 21783 211.32252499999998 136.938721 8.173744 36.498173 111.41027799999999 664 21784 201.55509899999998 132.57553099999998 7.954180999999999 35.322708 110.33509799999999 665 21787 205.38447599999998 134.622955 8.034023 35.508823 111.489914 666 21788 203.066956 134.911179 7.914261 35.156181 111.917999 667 21789 204.42962599999998 134.732269 7.924240999999999 35.694939 112.21665999999999 668 21790 207.890976 137.27664199999998 8.093904 36.155331 113.57058699999999 669 21791 207.622437 137.01825 8.233625 36.331649999999996 113.749786 670 21795 204.598694 135.209351 8.313467 36.155331 114.12808199999999 671 21796 208.07003799999998 136.789658 8.782535 37.458138 115.39241799999999 672 21797 212.13812299999998 139.19486999999998 8.792515 38.318901 114.924515 673 21798 212.118225 138.25067099999998 8.692713 38.368366 114.21768999999999 674 21801 213.023361 136.680328 8.942217 39.159878 115.81053899999999 675 21802 215.53981 135.249115 9.12186 39.159878 115.531792 676 21803 222.39292899999998 135.288849 9.341422999999999 39.041149 115.50192299999999 677 21804 221.89559899999998 136.680328 9.241622 38.655293 116.397903 678 21805 217.57884199999998 136.481537 9.33154 38.447520999999995 116.905632 679 21808 218.72268699999998 135.497589 9.371504 36.815033 115.05393199999999 680 21809 219.51840199999998 136.551117 9.351521 37.883572 115.98973799999999 681 21810 221.57733199999998 137.67421 9.371504 37.774738 116.63684099999999 682 21811 219.77702299999999 140.20864899999998 9.411468 37.378983 116.587059 683 21812 216.56428499999998 138.588593 9.361512 36.973335 116.45764199999999 684 21815 217.548996 138.29042099999998 9.33154 36.844719 117.09478 685 21816 216.514557 136.541183 8.961875 36.379704 117.87129999999999 686 21817 219.846634 138.50907899999999 9.151703 36.716094999999996 117.94098699999999 687 21818 218.712738 138.687973 9.01183 37.210789 117.771744 688 21819 217.648483 136.88902299999998 9.031812 37.022804 117.92107399999999 689 21822 222.77088899999998 138.18109099999998 8.931902 37.082169 118.150047 690 21823 223.387573 136.233078 8.602200999999999 35.726711 117.323753 691 21824 217.78771999999998 133.827835 8.502291999999999 34.31189 115.601479 692 21825 219.637756 135.447891 8.70211 34.608703999999996 115.790627 693 21826 225.794617 137.27664199999998 8.562237 34.539448 117.63237 694 21829 225.84434499999998 136.282761 8.552247 34.381145 116.70652799999999 695 21830 223.198593 134.841614 8.272499999999999 33.520382 117.05496199999999 696 21831 225.814514 137.39592 8.342437 33.777618 118.398933 697 21832 228.858124 138.25067099999998 8.442345999999999 34.292099 119.075897 698 21833 234.945358 138.82711799999998 8.792029 35.19244 119.70307899999999 699 21836 234.60717799999998 138.697922 8.712102 35.123184 118.637856 700 21837 234.060135 140.70559699999998 8.881948 35.875113999999996 118.996246 701 21838 233.11520399999998 139.552673 8.891938 36.260979 118.886742 702 21839 234.02033999999998 138.837067 9.031812 35.805859 119.304863 703 21840 235.14430199999998 136.57098399999998 8.951884 35.786072 118.60799399999999 704 21843 239.22233599999998 137.584747 8.782038 35.548622 119.20530699999999 705 21844 238.67529299999998 135.537338 9.051794 35.924586999999995 119.04602799999999 706 21845 241.87803599999998 136.402039 9.131720999999999 36.221405 118.817055 707 21846 242.275894 139.085556 8.941893 35.439789 118.568169 708 21847 245.259842 139.870712 8.991848 36.350024999999995 118.508438 709 21850 247.716614 143.309601 9.061784 36.251083 118.687637 710 21851 241.987442 141.957901 9.061784 37.804417 116.626877 711 21852 241.95761099999999 143.727036 10.100842 37.507602999999996 117.572632 712 21853 247.428162 142.494583 9.97096 36.765564 116.73638899999999 713 21854 254.450378 142.842468 10.370598 37.566967 117.09478 714 21857 256.12136799999996 143.667404 10.9201 37.98251 117.045006 715 21858 255.75337199999998 143.577957 10.960064 37.824207 118.329247 716 21859 255.86276199999998 143.180374 11.010017999999999 38.012187999999995 118.96638499999999 717 21860 258.81573499999996 143.37914999999998 11.279774 38.081448 119.69313 718 21861 259.524078 145.068787 11.509565 38.259537 118.90665399999999 719 21864 261.579193 145.217865 11.33972 38.309006 118.508438 720 21865 261.339752 146.172012 11.409656 38.180386 118.58808099999999 721 21866 263.84381099999996 146.410538 11.279774 36.795246 120.439781 722 21867 262.01815799999997 147.15596 11.279774 36.409386 120.111252 723 21868 265.130768 149.054306 11.509565 36.498428 118.339203 724 21871 266.46759 149.422043 11.429637 36.231297 119.71303599999999 725 21872 265.659515 149.471725 11.489583 35.993846999999995 119.35464499999999 726 21873 262.566864 149.212433 11.379683 34.905518 118.59803799999999 727 21874 261.38964799999997 149.072815 11.519556 34.301994 119.324776 728 21875 261.160187 149.182526 11.539538 34.954989999999995 118.827011 729 21878 265.73931899999997 150.818054 11.56951 35.429897 118.38896899999999 730 21879 263.664246 151.615875 11.33972 35.528831 118.65776799999999 731 21880 267.20584099999996 151.90509 11.279774 35.756389999999996 118.22969099999999 732 21882 266.617249 150.967651 11.259792 35.617878 118.558212 733 21885 263.534546 149.142639 11.149891 35.499153 118.747368 734 21886 258.83572399999997 148.90329 10.980044999999999 35.152865999999996 118.140091 735 21887 261.12027 149.44181799999998 10.890125999999999 35.419998 118.160004 736 21888 264.951172 149.521591 10.780227 35.310001 118.660004 737 21889 270.069031 151.336639 11.089946 35.540001 119.77999899999999 738 21892 266.288025 150.947708 10.980044999999999 35.380001 119.360001 739 21893 267.84433 150.718338 11.000028 35.110001 119.13999899999999 740 21894 270.128906 151.28677399999998 10.960064 35.240002 119 741 21895 270.817261 152.822586 11.429637 36.099998 119.760002 742 21896 274.498535 154.10907 11.329728 35.650002 120.29000099999999 743 21899 279.197357 155.106339 11.159882999999999 36.110001 120.54000099999999 744 21900 279.74609399999997 154.268631 11.089946 36.310001 121.27999899999999 745 21901 279.07766699999996 153.949509 10.950071999999999 37.310001 119.860001 746 21902 279.356995 155.285858 11.03 37.259997999999996 120.080002 747 21903 278.77838099999997 156.981232 11.03 37.25 120.29000099999999 748 21906 283.32757599999997 156.981232 11.16 36.769999999999996 119.02999899999999 749 21907 283.596924 156.95130899999998 11.19 36.580002 119.510002 750 21909 289.22360199999997 158.23779299999998 11.229999999999999 36.48 119.51999699999999 751 21910 289.113831 158.527008 11.18 36.560001 119.589996 752 21913 290.829773 157.16073599999999 11.08 36.439999 119.400002 753 21914 292.954712 157.270432 11.16 36.599998 118.839996 754 end format %td period
Code:
tsset time reg L(0/2).apple L(1/2).microsoft testparm L(1/2).microsoft reg L(0/2).microsoft L(1/2).apple testparm L(1/2).apple reg apple microsoft predict res_apple_microsoft, res dfuller res_apple_microsoft, nocon
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0 Response to Checking cointegration among all possible pairs in a dataset
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