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HEGY Test critical values

Reference: P.H. Franses and B. Hobijn (1997)

Numbers from all the tables in 

“Critical values for unit root tests in seasonal time series”, Journal of Applied Statistics 24: 25-46 Taylor & Francis Ltd., http://www.tandf.co.uk/journals

 

Critical Values
statistic 1% 5% 10%
t(pi1) -3.91 -3.35 -3.08
t(pi2) -3.34 -2.81 -2.51
F34 8.38 6.35 5.45
F56 8.55 6.48 5.46
F78 8.39 6.3 5.33
F910 8.5 6.4 5.47
F1112 8.75 6.46 5.36
F1-12 5.15 4.44 4.07
F2-12 5.34 4.58 4.26

 

Please Note that these critical values is for the richest specifications in the tests with a Constant, a Dummy variable and a Trend.

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