I would like to share the link - page 6
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What makes you think that the non-stationarity has disappeared?
Above are the unit root tests for the remainder
I don't know about the test, but "experience is the son of hard errors" tells a different story ))))
I don't know about the test, but "experience is the son of hard errors" tells a different story ))))
Above are the unit root tests for the remainder
Why the perversion in the form of tests...it's also all visually obvious...and the main thing to see is that it's not usable...
Are there any formulas?
Although it can be derived, of course.
In my opinion, the conclusion is the same as in the usual linear regression, only an additional factor in the form of a vector of weights - known - is introduced into the error functional. It is differentiated without any changes, just as a multiplier, respectively, and the final matrix will be entered in the simplest way.
The weights themselves are calculated according to the required law and then normalized so that the sum = N (number of samples)
You see, there is no experimental data (only in your words) on how this unit root test is related to the non-stationarity of financial markets. Directly or indirectly, squared or rooted....)))) You have decided that it is related. Looking at your result, I can say with almost 100% certainty that what you got on history you can't predict in the future. The whole trick of the non-stationarity of financial markets is that by taking a piece of history you can always find an algorithm that can make the most (or not the most) money on that history. Thus, the impression of a certain stationarity of the market is created. But this myth is quickly dispelled, because you are not guaranteed that this algorithm that you have found on the history will work on future, unknown data.
I have always been struck by academics in trading who are fat, sweaty, with huge lenses on their glasses, in which they graphically state that it is not tradable and will not make money at any rate. But until they find a thousand formulas to explain why it doesn't work (which is sadly not the other way round) they will never be satisfied. It is a kind of incessant mathematical masturbation, pardon my French.
Comrades simply can not understand that one mathematics (read econometrics, matherization, etc.) is not enough to make the impossible possible (stationarity is meant - millisecond flashes of alignment, please do not count - gunpowder is for high-frequency, which has an iron near the stock exchange). Otherwise everyone would not go to lawyers, but to teachers of mathematics and mathematical-economic sciences.
I have always been struck by academics in trading who are fat, sweaty, with huge lenses on their glasses, in which they graphically state that it is not tradable and will not make money at any rate. But until they find a thousand formulas to explain why it doesn't work (which is sadly not the other way round) they will never be satisfied. It is a kind of incessant mathematical masturbation, pardon my French.
Comrades simply can not understand that one mathematics (read econometrics, matherization, etc.) is not enough to make the impossible possible (stationarity is meant - millisecond flashes of alignment, please do not count - gunpowder is for high-frequency, which has an iron near the stock exchange). Otherwise all of us went not to lawyers, but to teachers of mathematics and mathematical-economic sciences.
Certainly not enough. I don't have any of that in me, I don't sweat much, I weigh 64kg (already 30 years old), I started using 0.5 glasses when reading a year ago. Active heterosexual.
What exactly is missing?