Course Name: Statistical Arbitrage Trading, Section No: 3, Unit No: 5, Unit type: WaterMarkVideo
In the video, it mentioned about t-stat -2.887 < critical value -2.57. Where can I find the critical value?
Hi Winnie
For critical value you can find this explained in Section 2, Unit 11- Know the ADF Test, where the ADF test, cointegration, and the Linear Regression is explained. Corresponding critical values are discussed under the ADF Test section. Please refer to that unit for more details.
Thanks