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Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication
Author(s) -
Kulaksizoglu Tamer
Publication year - 2015
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.2458
Subject(s) - lag , replication (statistics) , augmented dickey–fuller test , sample (material) , order (exchange) , econometrics , code (set theory) , test (biology) , statistics , computer science , sample size determination , mathematics , economics , programming language , cointegration , set (abstract data type) , ecology , computer network , chemistry , chromatography , finance , biology
Summary This paper replicates Cheung and Lai ( Journal of Business and Economic Studies 1995; 13(3): 277–280), 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. Copyright © 2015 John Wiley & Sons, Ltd.