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Thanks again for the info (and sorry for missing it above). A couple more questions, hopefully simple to answer. I just want to confirm what the "stat value" would be for both of the tests. Variance Ratio Test - Is this the "Max Z-Statistic" for the joint test of each window? Uni...

My apologies for not wording my question in an understandable manner. In regards to C1 and C2, I think you are probably right that this is Column 1 and 2. What I guess I meant to ask is the following: What do the data-points below C1 and C2 represent. For example, for the unit root test, are the dat...

Hi Again, I have attached the outputs of the rolling tests in excel format below (Unit Root and Variance Ratio). The headers to the outputs are C1 and C2. In each example, what would C1 and C2 stand for? Also, if one does a non-rolling variance ratio test they will get outputs for each 2, 4, 8, 16 (...

Thank you again for all of the help EViews Glenn and Gareth. One quick question. If I change the following line: freeze(bb) problemr.uroot (const) to: freeze(bb) problemr.uroot (adf,trend) Will that run the unit root test with both a constant and trend? And, specifically as the augmented dickey full...

EViews Glenn, Thank you very much for this information. At this point in time I would say that I understand about 90% of what you provided. I realize the office is closed today, but on July 5th are you able to take a call, or should I just call the general customer help and be transferred to the Tec...

Good Afternoon, I am wondering if anyone can provide me with a code to run a rolling window (of 250) on a data set of returns for the following three tests: Variance Ratio, Augmented Dickey Fuller and Autocorrelations. Thank you very much, Sean P.S. Please let me know if you need the data. Data is c...