Steven V. Miller @svmiller.com · Jan 9 Here's what the current development version does. I just need to write a KPSS test (not hard) before update. I don't know how many people are clamoring for analyses of efficient market hypotheses and what-not.
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I don't think too many people care about unit root tests, but digging into this has at least been informative about just how weird of a procedure (Augmented) Dickey-Fuller is. I get what it's doing, and how/why it works, but it's just weird. Anyone else have stats things they find weird like that?