Question: Based on the augmented Dickey{Fuller test, do you think the first column of yield Dat is stationary? Why or why not? Run the following code
Run the following code to compute changes in the yield curves. Notice the use of [- 1,] to delete the first row and similarly the use of [- n,].
n=dim(yieldDat)[1]
delta_yield = yieldDat[-1,] - yieldDat[-n,]
Plot the first column of delta_yield and run the augmented Dickey-Fuller test to check for stationarity.
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See Figure 27 for a plot of the first four columns of the yield data the first four maturities These ... View full answer
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