How to run EGtest in matlab for cointegration?

hello there!

                i am trying to perform a cointegration test for the tick data of audbid/ask vs nzdbid/ask. but when trie to perform the Engle test"*Error using egcitest (line 203)
Argument 'Y' failed validation with error:
Observed data must be numeric*." is the error I am receiving. The data in the set is numeric, but still this issue arises.

kindly, help me on this issue.

thank you

sahith

Answer 1

[Shashank Prasanna]

Can you share some information about the data? The data set may be numeric but what is the data container? What the the output of whos ?

>> whos

[Febin Benjamin]

Check this link..... http://www.mathworks.in/help/econ/identify-cointegration.html#btdp62r

[Shashank Prasanna]

Does running the example code just as it is gives you the error?

This works perfectly fine for me:

clear
load Data_Canada
Y = Data(:,3:end);
[h,pValue,stat,cValue] = egcitest(Y,'test',{'t1','t2'})

You will have to give us more information on what is failing.

[Josh]

I am not the OP, but I am getting an error when running your example.

clear
load Data_Canada
Y = Data(:,3:end);
[h,pValue,stat,cValue] = egcitest(Y,'test',{'t1','t2'})

yields

??? Undefined function or method 'egcitest' for input arguments of type 'cell'.

Y is shown to be a double

>> whos Name Size Bytes Class Attributes

Data             41x5              1640  double               
Dataset          41x5              9004  dataset              
Description      34x55             3740  char                 
Y                41x3               984  double               
dates            41x1               328  double               
series            1x5               918  cell

In case it is helpful

>> ver

-------------------------------------------------------------------------------------
MATLAB Version 7.12.0.635 (R2011a)
MATLAB License Number: ••••••
Operating System: Microsoft Windows 7 Version 6.1 (Build 7601: Service Pack 1)
Java VM Version: Java 1.6.0_17-b04 with Sun Microsystems Inc. Java HotSpot(TM) 64-Bit Server VM mixed mode
-------------------------------------------------------------------------------------
MATLAB                                                Version 7.12       (R2011a)
Database Toolbox                                      Version 3.9        (R2011a)
Datafeed Toolbox                                      Version 4.1        (R2011a)
Econometrics Toolbox                                  Version 2.0        (R2011a)
Financial Toolbox                                     Version 4.0        (R2011a)
MATLAB Builder JA                                     Version 2.2.2      (R2011a)
MATLAB Compiler                                       Version 4.15       (R2011a)
Optimization Toolbox                                  Version 6.0        (R2011a)
Parallel Computing Toolbox                            Version 5.1        (R2011a)
Spreadsheet Link EX                                   Version 3.1.3      (R2011a)
Statistics Toolbox                                    Version 7.5        (R2011a)