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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......

Could you provide the workfile?

I have uploaded the workfile

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: then do the adf test on the return series.