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st: trying tsset before dfgls


From   Preeti Rao <preeti@irm.ernet.in>
To   statalist@hsphsun2.harvard.edu
Subject   st: trying tsset before dfgls
Date   Fri, 7 Jun 2002 00:46:02 +0530 (IST)

I am trying to apply Dickey-Fuller test to daily share prices covering a
period of 5 years (starting from 1st April 1996 to 31st March 2001) for 
100 companies of Bombay Stock Market. 

The prices are upto 2 decimal places. while trying to tsset the data, 
 tsset knoll, f(%9.2g)
we get the error message "time variable must contain only integer values".
On removing the decimals, and then doing tsset 
tsset knoll, f(%9.0g)
the error message is "repeated time values in sample".

Since these are daily share prices, they will repeat. And it is required
that the share prices contain atleast 2 decimal places.

Could you please help me and let me know where i am going wrong?

Thanks.

Preeti Rao		


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