EG的临界值表Dickey-Fuller

1、eg的临界值表dickey-fuller . response surface study, mackinnon 1991 dickey-fuller unit-root critical values c=0+1t 1+2t 2 no constant or trend 2.5658 1.96 10.04 constant but no trend 1% 5.999 29.25 constant and trend 1% 5% 10% 8.353 47.44 4.039 17.83 2.418 7.58 5% 10%5% 2.738 8.36 10% 1.438 4.48 0 1 2 t 2

2、5 50 75 100 200 1.9393 1.6156 3.4335 2.8621 2.5671 3.9638 3.4126 3.1279 0.398 0.1810 0 2.66 2.61 2.59 2.59 2.58 2.57 1.96 1.95 1.94 1.94 1.94 1.94 1.62 1.62 1.62 1.62 1.62 1.62 3.72 3.57 3.52 3.50 3.46 3.43 2.98 2.92 2.90 2.89 2.88 2.86 2.63 2.60 2.59 2.58 2.57 2.57 4.37 4.15 4.08 4.05 4.01 4.96 3.6

3、0 3.50 3.47 3.45 3.43 3.41 3.24 3.18 3.16 3.15 3.14 3.13 engel-granger cointegration critical values n = number of variables = 2 no constant or trend constant but no trend 1% 10.534 30.03 constant and trend 1% 5% 10% 9.421 15.06 7.203 4.01 5% 10%5% 5.967 8.98 10% 0 1 2 t 3.9001 3.3377 3.0462 4.3266

4、3.7809 3.4959 4.069 12.531 5.73 34.03 3.59 3.46 3.42 3.40 3.37 3.34 3.22 3.13 3.10 3.09 3.07 3.05 5.00 4.65 4.54 4.49 4.41 4.33 4.18 3.98 3.91 3.88 3.83 3.78 3.79 3.64 3.59 3.57 3.53 3.50 4.37 4.12 4.05 4.01 3.95 3.90 . n = number of variables = 3 no constant or trend 2 constant but no trend 1% 13.7

5、90 46.37 constant and trend 1% 5% 10% 9.188 4.85 5% 10%5% 8.352 13.41 10% 0 1 2 t 4.2981 3.7429 3.4518 4.6676 4.1193 3.8344 6.241 18.492 12.024 2.79 49.35 13.13 4.10 3.92 3.86 3.83 3.78 3.74 3.71 3.58 3.54 3.51 3.48 3.45 5.49 5.06 4.92 4.86 4.76 4.67 4.62 4.37 4.28 4.24 4.18 4.12 4.21 4.02 3.96 3.93

6、 3.88 3.83 4.92 4.59 4.49 4.44 4.37 4.30 n = number of variables = 4 no constant or trend constant but no trend 1% 5% 10% constant and trend 1% 5% 10% 8.317 9.88 5% 10% 0 1 2 t 4.6676 4.1193 3.8344 4.6493 4.1000 3.8110 18.492 12.024 59.2 21.57 9.188 17.188 10.745 5.19 50.22 19.54 4.63 4.37 4.28 4.24 4.18 4.12 4.21 4.02 3.96 3.93 3.88 3.83 5.42 5.01 4.89 4.83 4.74 4.65