EG的临界值表Dickey-Fuller

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Response Surface Study, MacKinnon 1991

Dickey-Fuller unit-root critical values

cα=β0+β1T 1+β2T 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

β0

β1 β2

T 25 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

3.60 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%

β0

β1 β2

T

3.9001 3.3377 3.0462 4.3266 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%

13.790 46.37

Constant and trend 1% 5% 10%

9.188 4.85

5% 10%5%

8.352 13.41

10%

β0

β1 β2

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 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%

β0 β1 β2

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

4.56 4.32 4.25 4.21 4.15 4.10

4.16 3.98 3.92 3.90 3.85 3.81

5.50 5.06 4.92 4.86 4.76 ∞

4.67

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