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

Tamer Kulaksizoglu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Finite-sample critical value; Monte Carlo; Response surface (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2014-08-31
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:60456

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