Lag Order and Critical Values of the Augmented Dickey–Fuller Test
用响应面分析得到增广迪基-富勒检验的近似有限样本临界值，发现滞后阶数也会影响检验的有限样本表现，提醒应用时需校正滞后阶数效应。
Abstract Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey–Fuller (ADF) test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect the finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the ADF test. KEY WORDS: Finite-sample critical valueMonte CarloResponse surface