ADF Stationary Test in Excel

In this video, we demonstrate how to run augmented Dickey-Fuller (ADF) stationary test on a data set in Microsoft Excel with the help of newly released NumXL 1.58 (BAJA). NumXL is an add-in for Excel that greatly simplifies different calculations used in time series analysis.

Video script

Scene 1:

Hello and welcome to the NunmXL stationery test tutorial. In this video will demonstrate how to run a stationery test with the help of a simple user interface available with the version 1.58 of NumXL. We'll use daily log returns of the S&P 500 for this example. First, select an empty cell in your worksheet then click on the statistical testing button in the NumXL toolbar. Click on the stationery test icon.

Scene 2:

A function wizard pops up, for input data select your sample values. The output defaults to the selected cell in your worksheet. You may also choose a significance level for the test, the default is 5%. Once you select your data you can click on the options and the missing values tabs.

Scene 3:

Now you may choose the unit root test such as the augment dickey-fuller test and its conditions. You can also choose a lag order range to test for. In the missing values tab you can pick what to do if the input sample has intermediate missing values. The default is to not accept missing values which we'll leave checked.

Scene 4:

You may now click OK, and there you go the stationery tests results are now in your worksheet.

Scene 5:

That is it for now, thank you for watching!



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