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Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication*

* This paper is a replication of an original study

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  • Tamer Kulaksizoglu

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • 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.
    • Handle: RePEc:wly:japmet:v:30:y:2015:i:6:p:1010-1010
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    1. 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.
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    Cited by:

    1. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    2. Peter Uchenna Okoye & Chinwendu Christopher Mbakwe & Evelyn Ndifreke Igbo, 2018. "Modeling the Construction Sector and Oil Prices toward the Growth of the Nigerian Economy: An Econometric Approach," Economies, MDPI, vol. 6(1), pages 1-19, March.
    3. Rosdiana Sijabat, 2022. "The Association of Economic Growth, Foreign Aid, Foreign Direct Investment and Gross Capital Formation in Indonesia: Evidence from the Toda–Yamamoto Approach," Economies, MDPI, vol. 10(4), pages 1-22, April.
    4. Wang, Ze & Gao, Xiangyun & An, Haizhong & Tang, Renwu & Sun, Qingru, 2020. "Identifying influential energy stocks based on spillover network," International Review of Financial Analysis, Elsevier, vol. 68(C).

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    Replication

    This item is a replication of:
  • 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.

    • More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication (Journal of Applied Econometrics 2015) in ReplicationWiki

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