For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Posts: 1
Joined: Sun Feb 14, 2021 4:02 am


Postby carlasophie » Sun Feb 14, 2021 4:08 am


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

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 10 guests