Comment on Live Example -1

Karthik Rangappa commented on 26 May 2018, 12:45 PM

1) I remember running some sort of optimization years ago and realized 200-day data is a sweet spot, sticking to it since then
2) The lag is usually set to the square root of the number of data points…so a lag of 14 is good (sqr root of 200). Btw, I’m really not sure why there is a difference in ADF values.

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