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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
Quantiles
Distribution
N (0, 1)
DF
DFc
DFl
1%
2.5%
5%
10%
−2.33
−2.56
−3.43
−3.96
−1.96
−2.23
−3.12
−3.66
−1.64
−1.94
−2.86
−3.41
−1.28
−1.62
−2.57
−3.13
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
χ2 (2)
DF2c
DF2l
1%
2.5%
5%
10%
9.21
12.73
16.39
7.38
10.73
14.13
5.99
9.13
12.39
4.61
7.50
10.56
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
0
1
2
3
4
Constant in (22)
1%
5%
10%
−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
Constant and trend in (22)
1%
5%
10%
−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
(B) PcGive test for no-cointegration
Number of estimated
parameters
2
3
4
5
Constant in (22)
1%
5%
10%
−3.79
−4.09
−4.36
−4.59
−3.21
−3.51
−3.76
−3.99
−2.91
−3.19
−3.44
−3.66
Constant and trend in (22)
1%
5%
10%
−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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