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Critical Values ADF

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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

2 .

56

3

3

.

.

43

96

1

2

3

3

.

.

.

.

96

23

12

66

1

1

2

3

.

.

.

.

64

94

86

41

1

1

2

3

.

.

.

.

28

62

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

3 .

90

− 4 .

29

4 .

64

4 .

96

2 .

86

3 .

34

− 3 .

74

4 .

10

4 .

42

2 .

57

3 .

04

− 3 .

45

3 .

81

4 .

13

3 .

96

4 .

32

− 4 .

66

4 .

97

5 .

25

3 .

41

3 .

78

− 4 .

12

4 .

43

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

4 .

09

4 .

36

4 .

59

3 .

21

3 .

51

3 .

76

3 .

99

2 .

91

3 .

19

3 .

44

3 .

66

4 .

25

4 .

50

4 .

72

4 .

93

3 .

69

3 .

93

4 .

14

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

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