Unit root and Engle-Granger cointegration
The unit root test was conducted on the price series and its first difference (return) series. The ADF test was applied to both the price and return series, with the lag length determined using the Schwarz…
The unit root test was conducted on the price series and its first difference (return) series. The ADF test was applied to both the price and return series, with the lag length determined using the Schwarz…