PRACTITIONERS CORNER: Lag Order and Critical Values of a Modified Dickey‐Fuller Test
研究一种更强大的修正迪基-富勒检验（DF-GLS检验）的有限样本性质，发现滞后阶数显著影响临界值，并提供了易于计算的滞后调整临界值，对实证研究者选择检验方法有直接帮助。
ABSTRACTS This study examines some finite‐sample properties of a new modified Dickey‐Fuller test, called the DF‐GLS test, which has been shown to be more powerful than standard unit‐root tests. The study shows the lag order can significantly affect the critical values of the test. This points to the importance of correcting for the lag order effect in implementing the DF‐GLS test. Approximate lag‐adjusted finite‐sample critical values for the DF‐GLS test are provided, which can be straightforwardly computed from response surface equations.