Engel-Granger Cointegration Critical Values

Response Surface Study, MacKinnon 1991
Dickey-Fuller unit-root critical values

c = 0 + 1T 1 + 2T 2
No constant or trend
1%
0
1
2
2.5658
5%
Constant but no trend
10%
1%
5%
10%
Constant and trend

1%
5%
10%
1.9393 1.6156 3.4335 2.8621 2.5671 3.9638 3.4126 3.1279
1.96
0.398
0.181
5.999
2.738
1.438
8.353
4.039
2.418
10.04
29.25
8.36
4.48
47.44
17.83
7.58
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
1%
0
1
2
5%
10%

1%
5%
10%
Constant and trend

1%
5%
10%
3.9001 3.3377 3.0462 4.3266 3.7809 3.4959

10.534
5.967
4.069 12.531
9.421
7.203
30.03
8.98
5.73
34.03
15.06
4.01
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
1%
5%
10%
0
1
2

1%
5%
10%
Constant and trend

1%
5%
10%
4.2981 3.7429 3.4518 4.6676 4.1193 3.8344

13.790
8.352
46.37
13.41
25
4.92
4.10
50
4.59
75
6.241 18.492 12.024

2.79
9.188
49.35
13.13
4.85
3.71
5.49
4.62
4.21
3.92
3.58
5.06
4.37
4.02
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
1%
0
1
2
5%
10%

1%
5%
10%
Constant and trend

1%
5%
10%
4.6676 4.1193 3.8344 4.6493 4.1000 3.8110

18.492 12.024
59.2
21.57
9.188 17.188 10.745

5.19
50.22
19.54
8.317
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

Engel-Granger Cointegration Critical Values

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Engel-Granger Cointegration Critical Values

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Response Surface Study, MacKinnon 1991

Dickey-Fuller unit-root critical values

Constant but no trend

Constant and trend

1.9393 1.6156 3.4335 2.8621 2.5671 3.9638 3.4126 3.1279