DislikedHi
Did you modified the 7 bit's code to run the ADF test? Would you mind sharing how you do it.
Thanks
KimIgnored
http://www.quantcode.com/modules/myd...%20desc&show=5
Input data is the difference in log prices of two pairs. Look for a very low value of p. 0.01 means unit root is rejected at 99% level. Any value of below 0.1 (90% of rejection) and higher order lag is good for "Government work" as OD pointed out.
Regards,
hnk