15.4. Specifi- cally, do the sample autocorrelation functions for crude oil and copper prices exhibit stationarity? Does the sample autocorrelation function for the price of lumber indicate that the series is nonstationary?

(b) How robust are the Dickey-Fuller test results to the sample size? Divide the sample in half, and for each price series, repeat the Dickey-Fuller tests for each half of the sample. 15.4 Go back to the data for the S&P 500 Common Stock Price Index at the end of the preceding chapter. Would you expect this index to follow a random walk? Perform a Dickey-Fuller test to see whether it indeed does.