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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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