augmented dickey-fuller test

  1. A

    Augmented Dickey-Fuller test null rejected. AR(1) in ARCH(1) p-value of 0.000

    Hello, I am investigating if the comovement of the green bond market and other markets has changed pre covid-19 and during Covid-19. The plan is to use ARCH/GARCH on the logged returns of the respective marekts to attain their volatility over time. Then I will use dynamic condidional...
  2. L

    Time series analysis - residuals arent stationary

    Hey everyone, i'm struggling with modelling some times series to get residuals with white noise characteristics. I use SPSS for ARIMA modelling and exponential smoothing and Gretl for stationary testing with the Augmented-Dickey-Fuller and the KPSS-Test. My workflow: At first I use Gretl to...
  3. M

    How to Test for Co-integration with the Augmented Dickey-Fuller Test?

    Hi everyone. The table above contains two example factories that I would like to test for cointegration using the augmented dickey-fuller test. I intentionally use this short time series because I want to do the calculations by hand. Below you will see my attempt to carry out this procedure and...