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Tamer Kulaksizoglu

lag order and critical values of the augmented dickey-fuller test: a replication (replication data)

This paper replicates Cheung and Lai (Journal of Business and Economic Studies 1995; 13(3): 277-280), 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.

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Kulaksizoglu, Tamer (2015): Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0723610879

Related Publication

Kulaksizoglu, T. (2015), Lag Order And Critical Values Of The Augmented Dickey-Fuller Test: A Replication, Journal of Applied Econometrics, 30(6), 1010-1010. https://doi.org/10.1002/jae.2458