Augmented Dickey-Fuller Test - Quant Researcher Interview Question

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