Augmented Dickey-Fuller Test - Quant Researcher Interview Question
Difficulty: Hard
Category: statistical_analysis
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Topics: statistics, time_series, regression, numpy, pandas
Problem Description
Stationarity is a fundamental property in time series analysis, essential for validating mean-reversion strategies and pairs trading models in quantitative finance. The Augmented Dickey-Fuller (ADF) test evaluates this property by testing for the presence of a unit root in a univariate process using an autoregressive model.
Task
Implement a function solution(timeseries, lag) that calculates the t-statistic for the coefficient $\gamma$ in the Augmented Dickey-Fuller regression model. The specifi
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