Visit James MacKinnon's homepage http://qed.econ.queensu.ca/pub/faculty/mackinnon/ and find a free program for his paper "Numerical Distribution Functions for Unit Root and Cointegration Tests," (Journal of Applied Econometrics, 11, 1996, 601-618) at http://qed.econ.queensu.ca/pub/faculty/mackinnon/jae/. It calculates both p-values for quantiles and quantiles for p-values. Alexander Tsyplakov
- ADF test Lieven De Moor
- Alexander Tsyplakov
