The Dickey-Fuller test is a statistical test that is commonly used to test for the presence of a unit root in a time series dataset. The null hypothesis of the test is that there is a unit root in the time series, which implies that the series is non-stationary and has a trend. The...
This post explains how to use the augmented Dickey-Fuller (ADF) test in R. The ADF Test is a common statistical test to determine whether a given time series is stationary or not. We explain the interpretation of ADF test results from R package by making the meaning of the alphanumeric ...
Now, let us find out how the ADF Test can be done using Python with the same pair of stocks as used above. Now, we will check the cointegration by running the Augmented Dickey Fuller test. Using the statsmodels.api library, we compute the Ordinary Least Squared regression on the closing ...
Augmented Dickey-Fuller Test data: comb$residuals Dickey-Fuller = -23.4463, Lag order = 1, p-value = 0.01 alternative hypothesis: stationary Warning message: In adf.test(comb$residuals, k = 1) : p-value smaller than printed p-value None Copy The Dickey-Fuller test statistic is very...