Comment on Live Example -1

KUMAR MAYANK commented on 26 May 2018, 09:34 AM

Hello sir
When i regressed TM(Y) & TMD(X) over one year data set(249 data), it didn’t show any trading opportunity on 11/05/18. While comparing the two regression analysis i noticed that the regression done on 200 set of data generated better results than that of one year data analysis. Also the ADF value was lesser in the former(200 day data) regression.
1) Is 200 day data optimum for data analysis? Can we regress 100 set of data too?

2) The ADF value i got after regressing the same set of data as done here on Varsity is 0.0567 while your value is 0.017. I used both Schwarz Info criterion & Alkaike Info criterion with the lag length of 14 (it was automatic). Which criterion should i use and what should be the optimum leg length to run ADF test? I had asked this question almost 3 weeks ago and you told me to wait.
Thank you, sir 🙂
Varsity student

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