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

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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Year of publication:	2014-08-31
Authors:	Kulaksizoglu, Tamer

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Kulaksizoglu, Tamer (2014): Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication. Forthcoming in: Journal of Applied Econometrics
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

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