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e191
2006 Aug 28
1
Help on function adf.test
Hello everybody,
I've got a matrix called EUROPEDATA and I want to calculate the adf test statistic (part of the tseries package) on a rolling basis for window my.win on each column; i.e. each column of EUROPEDATA represents a particular variable; for the first column I calculate the adf test statistic for window my.win = 60 for example, roll forward one observation, calculate the adf