As far as I know p-value in ADF is for one sided test
for two sided test you should use t-values
Search found 2 matches
- Fri Jul 06, 2012 4:11 pm
- Forum: Econometric Discussions
- Topic: p-value differences in ADF test
- Replies: 5
- Views: 9540
- Fri Jul 06, 2012 4:04 pm
- Forum: Econometric Discussions
- Topic: How to read Ljung Box Test and what to do with the results?
- Replies: 2
- Views: 18117
Re: How to read Ljung Box Test and what to do with the resul
Hello Dima! I hope you found the answer to ur question! And I wondered if you could help me with the following: I also had a time series of stock index prices and want to test it for efficiency (EMH weak form). In the course of this work I want to do Ljung Box Test of autocorrelation. However I can ...