[R-SIG-Finance] Using adf.test to test time series stationarity of stock price

[Brian G. Peterson]

On 04/21/2013 06:28 PM, Yitao Zhang wrote:
> Hey guys,
>
> I'm trying to do a augmented Dickey-Fuller test to test the stationarity of a stock price.

With your stated economics background, one would assume that you'd 
realize that price is almost never stationary.

Perhaps try on returns?

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock