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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

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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.

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