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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