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




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Abstract

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.



Item Type: MPRA Paper -

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

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

Language: English-

Keywords: Finite-sample critical value; Monte Carlo; Response surface-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: GeneralC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General-





Author: Kulaksizoglu, Tamer

Source: https://mpra.ub.uni-muenchen.de/60456/



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