(...)

Why are you using two loops? Conceptually, there's only one:

loop foreach i Variables -q

adf lag $i --c --test-down

ADF[i,] = $test ~ $pvalue
endloop

You should use "$i" (and the like) _only_ when you need string
substitution (as in the adf command): otherwise use plain "i"
(as in matrix indexation) to get the numerical value.