Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication

Kulaksizoglu, Tamer (2014): Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication. Forthcoming in: Journal of Applied Econometrics

Abstract

This paper replicates Cheung and Lai (1995), who use response surface analysis to obtain approximate finite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code. We also provide a Windows application with a graphical user interface, which makes obtaining custom critical values quite simple.

• Item Type: MPRA Paper
• Language: English
• Keywords: Finite-sample critical value; Monte Carlo; Response surface
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

References

Cheung, Y.-W. and Lai, K. S. (1995). Lag order and critical values of the augmented Dickey-Fuller test. Journal of Business and Economic Statistics, 13(3):277-280.

Dickey, D. A. and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74:427-431.

Fuller, W. A. (1976). Introduction to Statistical Time Series. John Wiley, New York.

Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press, Princeton, New Jersey.

MacKinnon, J. G. (1991). Long-Run Economic Relationships' Readings in Cointegration, chapter Critical Values for Cointegration Tests, pages 266-276. Oxford University Press, New York.