Installing tables for Dickey-Fuller test in Matrixer


Matrixer can calculate P-values for augmented Dickey-Fuller test. Actually, Matrixer subroutine for ADF is a shell for the files which are due to James MacKinnon (James G. MacKinnon, "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, 11, 1996, 601-618). The files are available from http://qed.econ.queensu.ca/pub/faculty/mackinnon/numdist/. One have to download the file tabs-dos.zip and unzip it into directory "...\urcdist\" (relative to Matrixer directory). Only probs.tab and urc-1.tab are needed. It is necessary to replace D with E in the file urc-1.tab.

Matrixer P-values are not the same as those calculated by the original MacKinnon's MS DOS program (urcdist.zip), but the difference is not very large.



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