Source: The table is reproduced from Fuller (1976). It is used by permission of John Wiley & Sons, Inc.
Source: Dickey, David, and Wayne A. Fuller (1981). Used by permission of the Econometric Society.
The critical values are for cointegrating relations (with a constant in the cointegrating vector) estimated using the Engle–Granger methodology.
Source: Critical values are interpolated using the response surface in MacKinnon (1991).
Note: m1 is the number of I(1) variables and m2 is the number of I(2) variables on the right-hand side of the multicointegrating relationship.
Source: The critical values for the intercept-only case are from Haldrup (1994) ...