BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

186 ACTA WASAENSIA4344 nobs = 500; %Fuller has only 25,50,100,250,500,inf observations4546 % Check whether length of Y is integer multiple of NOBS4748 if mod(length(y),nobs)49 error(’The length of Y must be an integer multiple of 500.’)50 end515253 % Initialize output variables5455 tests = length(y)/nobs; %number of tests to be performed56 rho = zeros(tests,1); %(tests*1) estimated AR(1) coefficients57 taustat = zeros(tests,1); %(tests*1) t-statistics of rho585960 % Start loop over number of DF tests to be performed6162 for test = 1:tests6364 % Generate input for regression65 if test == 1 % NOBS-1 observations in first test66 x = y(1:nobs-1); %((nobs-1)*1) lagged time series67 dy = y(2:nobs)-x; %((nobs-1)*1) change in time series68 else % NOBS observations otherwise69 x = y((test-1)*nobs : test*nobs-1); %lagged ts70 dy = y((test-1)*nobs+1 : test*nobs)-x; %change in ts71 end7273 % Perform regression of change in ts upon lagged ts74 regression = ols(dy,x); %perform regression75 rho(test) = regression.beta + 1; %estimated AR(1) coeff.76 taustat(test) = regression.tstat; %t-statistics of y_{t-1}777879 end %end of loop over number of DF tests to be performed808182 % (TESTS*1) indicator vectors for percentile distribution83 % without constant from first panel in Table 8.5.2 (p.373)8485 ltnc025 = (taustat < -2.23); %logical(1) if pval < 0.02586 ltnc05 = (taustat < -1.95); %logical(1) if pval < 0.0587 ltnc95 = (taustat