I have a question regarding the dickey fuller test in EViews. I'm estimating single and multi factor model (CAPM, Fama/French and Carhart). The times series returns of one portfolio is not stationary on level. After applying the augmented dickey fuller test with the first difference, it's stationary. Now I have to estimate the regression. My question is whether I have to use the first difference for all variables now or just for the time series that wasn't stationary at first.
Thank you for your help!
Best wishes from Germany
For econometric discussions not necessarily related to EViews.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 9 guests