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.