Augmented Dickey Fuller Test
Posted: Tue May 21, 2013 6:05 am
Hello,
I have a question regarding the interpretation of an ADF output.
When performing on a time series of a stock, is it possible to make a statement regarding the strength of the trend in the time series when looking either at the t-stat from the ADF or the t-stat of the @Trend coefficient?
So, when comparing two time series of 2 stocks (of equal lenght), can one say stock X has a stronger (more explosive behavior) than stock Y because of the values of the t-stat?
Thanks very much in advance
I have a question regarding the interpretation of an ADF output.
When performing on a time series of a stock, is it possible to make a statement regarding the strength of the trend in the time series when looking either at the t-stat from the ADF or the t-stat of the @Trend coefficient?
So, when comparing two time series of 2 stocks (of equal lenght), can one say stock X has a stronger (more explosive behavior) than stock Y because of the values of the t-stat?
Thanks very much in advance