Question 10 15 points) Use the daily data from MSFT below price=MSFT adjusted close price ret = the log return The Augmented Dickey Fuller (ADF) tests for MSFT price and returns are reported below. Test unit root (nonstationarity) hypothesis for each series library(tserves) #incorporates a constant and a linear trend at est price) 5 Augmented Dickey Puller Test data: price 18 Dickey-Paller = 1.291, Lag order = 14, p-value = 099 alternative hypothesis stationary adf.test(ret) Augmented Dickey-Fuller Test data ret Dickey-Fuller = -14.405. Lag order = 14, p-value = 0.01 alternative hypothesis stationary Dicky-Pallet 1291 Lage 1 wiema ive bypothes stationary Augme Day Millere Dickey Pallet 44405. 14. alternative hypothesis ir Return is non-stationary. Since the p-value is very small we reject the mill hypothesis of a unit root. Price is stationary. Since the p-value is large we do not reject the null hypothesis of a unit root. 18 Both price and return are stationary Price is non-stationary. Since the p-value is large we do not reject the null hypothesis of a unit root. Question 10 15 points) Use the daily data from MSFT below price=MSFT adjusted close price ret = the log return The Augmented Dickey Fuller (ADF) tests for MSFT price and returns are reported below. Test unit root (nonstationarity) hypothesis for each series library(tserves) #incorporates a constant and a linear trend at est price) 5 Augmented Dickey Puller Test data: price 18 Dickey-Paller = 1.291, Lag order = 14, p-value = 099 alternative hypothesis stationary adf.test(ret) Augmented Dickey-Fuller Test data ret Dickey-Fuller = -14.405. Lag order = 14, p-value = 0.01 alternative hypothesis stationary Dicky-Pallet 1291 Lage 1 wiema ive bypothes stationary Augme Day Millere Dickey Pallet 44405. 14. alternative hypothesis ir Return is non-stationary. Since the p-value is very small we reject the mill hypothesis of a unit root. Price is stationary. Since the p-value is large we do not reject the null hypothesis of a unit root. 18 Both price and return are stationary Price is non-stationary. Since the p-value is large we do not reject the null hypothesis of a unit root