EG两步法参差稳定性检验的临界值表

EG两步法参差稳定性检验的临界值表 Response Surface Study, MacKinnon 1991 Dickey-Fuller unit-root critical values 1 2 0 1 2c T Tα β β β− −= + + No constant or trend Constant but no trend Constant and trend 1% 5% 10% 1% 5% 10% 1% 5% 10% β0 −2.5658 1.9393 −1.6156 −3.4335 −2.8621 −2.567...

Response Surface Study, MacKinnon 1991 Dickey-Fuller unit-root critical values 1 2 0 1 2c T Tα β β β− −= + + No constant or trend Constant but no trend Constant and trend 1% 5% 10% 1% 5% 10% 1% 5% 10% β0 −2.5658 1.9393 −1.6156 −3.4335 −2.8621 −2.5671 −3.9638 −3.4126 −3.1279 β1 −1.96 −0.398 −0.181 −5.999 −2.738 −1.438 −8.353 −4.039 −2.418 β2 −10.04 0 0 −29.25 −8.36 −4.48 −47.44 −17.83 −7.58 T 25 −2.66 −1.96 −1.62 −3.72 −2.98 −2.63 −4.37 −3.60 −3.24 50 −2.61 −1.95 −1.62 −3.57 −2.92 −2.60 −4.15 −3.50 −3.18 75 −2.59 −1.94 −1.62 −3.52 −2.90 −2.59 −4.08 −3.47 −3.16 100 −2.59 −1.94 −1.62 −3.50 −2.89 −2.58 −4.05 −3.45 −3.15 200 −2.58 −1.94 −1.62 −3.46 −2.88 −2.57 −4.01 −3.43 −3.14 ∞ −2.57 −1.94 −1.62 −3.43 −2.86 −2.57 −4.96 −3.41 −3.13 Engel-Granger cointegration critical values N = Number of variables = 2 No constant or trend Constant but no trend Constant and trend 1% 5% 10% 1% 5% 10% 1% 5% 10% β0 −3.9001 −3.3377 −3.0462 −4.3266 −3.7809 −3.4959 β1 −10.534 −5.967 −4.069 −12.531 −9.421 −7.203 β2 −30.03 −8.98 −5.73 −34.03 −15.06 −4.01 T 25 −4.37 −3.59 −3.22 −5.00 −4.18 −3.79 50 −4.12 −3.46 −3.13 −4.65 −3.98 −3.64 75 −4.05 −3.42 −3.10 −4.54 −3.91 −3.59 100 −4.01 −3.40 −3.09 −4.49 −3.88 −3.57 200 −3.95 −3.37 −3.07 −4.41 −3.83 −3.53 ∞ −3.90 −3.34 −3.05 −4.33 −3.78 −3.50 2 N = Number of variables = 3 No constant or trend Constant but no trend Constant and trend 1% 5% 10% 1% 5% 10% 1% 5% 10% β0 −4.2981 −3.7429 −3.4518 −4.6676 −4.1193 −3.8344 β1 −13.790 −8.352 −6.241 −18.492 −12.024 −9.188 β2 −46.37 −13.41 −2.79 −49.35 −13.13 −4.85 T 25 −4.92 −4.10 −3.71 −5.49 −4.62 −4.21 50 −4.59 −3.92 −3.58 −5.06 −4.37 −4.02 75 −4.49 −3.86 −3.54 −4.92 −4.28 −3.96 100 −4.44 −3.83 −3.51 −4.86 −4.24 −3.93 200 −4.37 −3.78 −3.48 −4.76 −4.18 −3.88 ∞ −4.30 −3.74 −3.45 −4.67 −4.12 −3.83 N = Number of variables = 4 No constant or trend Constant but no trend Constant and trend 1% 5% 10% 1% 5% 10% 1% 5% 10% β0 −4.6676 −4.1193 −3.8344 −4.6493 −4.1000 −3.8110 β1 −18.492 −12.024 −9.188 −17.188 −10.745 −8.317 β2 −59.2 −21.57 −5.19 −50.22 −19.54 −9.88 T 25 −5.50 −4.63 −4.21 −5.42 −4.56 −4.16 50 −5.06 −4.37 −4.02 −5.01 −4.32 −3.98 75 −4.92 −4.28 −3.96 −4.89 −4.25 −3.92 100 −4.86 −4.24 −3.93 −4.83 −4.21 −3.90 200 −4.76 −4.18 −3.88 −4.74 −4.15 −3.85 ∞ −4.67 −4.12 −3.83 −4.65 −4.10 −3.81

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EG两步法参差稳定性检验的临界值表

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