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Applied Econometric Times Series, 3rd Edition by Walter Enders

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STATISTICAL TABLES

Table A Empirical Cumulative Distribution of τ

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Source: The table is reproduced from Fuller (1976). It is used by permission of John Wiley & Sons, Inc.

Table B Empirical Distribution of image

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Source: Dickey, David, and Wayne A. Fuller (1981). Used by permission of the Econometric Society.

Table C Critical Values for the Engle–Granger Cointegration Test

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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).

Table D Residual-Based Cointegration Test with I(1) and I(2) Variables

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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) ...

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