Econometrics II, Fall 2017

Department of Economics, University of Copenhagen

Morten Nyboe Tabor

### Critical Values

#1.1

Augmented Dickey-Fuller Test

Distribution 1% 2 .

Quantiles

5% 5% 10%

N (0

DF

DF c

DF l

, 1) − 2 .

33 − 1 .

96 − 1 .

64 − 1 .

28

− 2 .

56 − 2 .

23 − 1 .

94 − 1 .

62

3

3

.

.

43

96

3

3

.

.

12

66

2

3

.

.

86

41

2

3

.

.

57

13

Table 1: Asymptotic critical values for the Dickey-Fuller unit root test. This is the one-sided test for π = 0 in (13) in Section 4.2, Lecture Note 5, Non-Stationary

Time Series and Unit Root Testing .

Quantiles

Distribution 1% 2 .

5% 5% 10%

χ

2

(2)

DF

2 c

DF

2 l

9

12

16 .

.

.

21

73

39

7

10

14 .

.

.

38

73

13

5

9

12 .

.

.

99

13

39

4

7

10 .

.

.

61

50

56

Table 2: Asymptotic critical values for the Likelihood Ratio test for π = 0 and

δ = 0 in (14) in Section 4.3, Lecture Note 5, Non-Stationary Time Series and

Unit Root Testing .

1

#1.2

Tests for No Cointegration

(A) Residual-based (ADF) test for no-cointegration

Number of estimated parameters

Constant in (22)

1% 5% 10%

Constant and trend in (22)

1% 5% 10%

0

1

2

3

4

− 3 .

43 − 2 .

86 − 2 .

57

− 3 .

90 − 3 .

34 − 3 .

04

− 4 .

29 − 3 .

74 − 3 .

45

− 4 .

64 − 4 .

10 − 3 .

81

− 4 .

96 − 4 .

42 − 4 .

13

− 3 .

96 − 3 .

41

− 4 .

32 − 3 .

78

− 4 .

66 − 4 .

12

− 4 .

97 − 4 .

43

− 5 .

25 − 4 .

72

− 3 .

13

− 3 .

50

− 3 .

84

− 4 .

15

− 4 .

43

Number of estimated parameters

(B) PcGive test for no-cointegration

Constant in (22)

1% 5% 10%

Constant and trend in (22)

1% 5% 10%

4

5

2

3

− 3 .

79 − 3 .

21 − 2 .

91

− 4 .

09 − 3 .

51 − 3 .

19

− 4 .

36 − 3 .

76 − 3 .

44

− 4 .

59 − 3 .

99 − 3 .

66

− 4 .

25 − 3 .

69

− 4 .

50 − 3 .

93

− 4 .

72 − 4 .

14

− 4 .

93 − 4 .

34

− 3 .

39

− 3 .

62

− 3 .

83

− 4 .

03

Table 3: Asymptotic critical values for tests of no-cointegration in Section 3 in

Lecture Note 6, Cointegration and Common Trends . Reproduced from Davidson and MacKinnon (1993).

2