Problems in ADF

[mohit1994]

Hello everyone.
I am trying to perform ADF test on a series of data with 4000 observations. The observations are stock market index (of order 10^3-10^4). When I run the ADF test at level I get a error with dialog box

"RESID not allowed. Generate another series equal to RESID"

But when I take ADF for 1st or 2nd difference there is no error. Please tell me what is the problem... :(

Thanks in advance......

[EViews Gareth]

Could you provide the workfile?

[mohit1994]

I have uploaded the workfile

[EViews Gareth]

You have your data stored in the resid series. You cannot do that. You'll have to create a new series to store the data.
Just do something like:

Code: Select all

series return = resid

then do the adf test on the return series.