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Lag Order and Critical Values of the Augmented Dickey-Fuller Test*

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Author

Listed:
  • Cheung, Yin-Wong
  • Lai, Kon S

Abstract

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the augmented Dickey-Fuller test.

Suggested Citation

  • Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-280, July.
  • Handle: RePEc:bes:jnlbes:v:13:y:1995:i:3:p:277-80
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    Replication

    This item has been replicated by:
  • Tamer Kulaksizoglu, 2015. "Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 1010-1010, September.
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    1. Lag Order and Critical Values of the Augmented Dickey-Fuller Test (J Business & Econ Statistics 1995) in ReplicationWiki

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