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Critical Values For The Dickey-Fuller Unit Root T-Test Statistics

This document provides critical values for the Dickey-Fuller unit root test statistic under three different models - Model I with no constant and no trend, Model II with a constant and no trend, and Model III with a constant and trend. The critical values are given for various sample sizes (N) at the 1%, 2.5%, 5%, 10%, and other significance levels to determine if the test statistic is in the rejection region.

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wjimenez1938
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71 views

Critical Values For The Dickey-Fuller Unit Root T-Test Statistics

This document provides critical values for the Dickey-Fuller unit root test statistic under three different models - Model I with no constant and no trend, Model II with a constant and no trend, and Model III with a constant and trend. The critical values are given for various sample sizes (N) at the 1%, 2.5%, 5%, 10%, and other significance levels to determine if the test statistic is in the rejection region.

Uploaded by

wjimenez1938
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Critical Values for the Dickey-Fuller

Unit Root t-Test Statistics

Model Statistic N

1%

Model I (no constant, no


ADFtr
25 -2.66
50 -2.62
100 -2.60
250 -2.58
500 -2.58
>500 -2.58

Probability to the Right of Critical Value


2.5%
5%
10%
90%
95%
97.5%
trend)
-2.26
-2.25
-2.24
-2.23
-2.23
-2.23

99%

-1.95
-1.95
-1.95
-1.95
-1.95
-1.95

-1.60
-1.61
-1.61
-1.61
-1.61
-1.61

0.92
0.91
0.90
0.89
0.89
0.89

1.33
1.31
1.29
1.29
1.28
1.28

1.70
1.66
1.64
1.63
1.62
1.62

2.16
2.08
2.03
2.01
2.00
2.00

Model II (constant, no trend)


ADFtr
25 -3.75 -3.33
50 -3.58 -3.22
100 -3.51 -3.17
250 -3.46 -3.14
500 -3.44 -3.13
>500 -3.43 -3.12

-3.00
-2.93
-2.89
-2.88
-2.87
-2.86

-2.62
-2.60
-2.58
-2.57
-2.57
-2.57

-0.37
-0.40
-0.42
-0.42
-0.43
-0.44

0.00
-0.03
-0.05
-0.06
-0.07
-0.07

0.34
0.29
0.26
0.24
0.24
0.23

0.72
0.66
0.63
0.62
0.61
0.60

Model III (constant, trend)


ADFtr
25 -4.38 -3.95
50 -4.15 -3.80
100 -4.04 -3.73
250 -3.99 -3.69
500 -3.98 -3.68
>500 -3.96 -3.66

-3.60
-3.50
-3.45
-3.43
-3.42
-3.41

-3.24
-3.18
-3.15
-3.13
-3.13
-3.12

-1.14
-1.19
-1.22
-1.23
-1.24
-1.25

-0.80
-0.87
-0.90
-0.92
-0.93
-0.94

-0.50
-0.58
-0.62
-0.64
-0.65
-0.66

-0.15
-0.24
-0.28
-0.31
-0.32
-0.33

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