我倒是用 STATA 模拟ADF 临界值表，不不是很复杂，就是有点费时间。

simulate "chp11_tab_ADF,obs(100)" t1=r(t1) t2=r(t2) t3=r(t3) , rep(50000) dots

program define chp11_tab_ADF, rclass
version 8
syntax [, obs(integer 100)]
drop _all
set obs `obs'
tempvar y b V t1 t2 t3
sim_arma `y', ar(1)
tsset _t

qui reg D.`y' L.`y',noconst /* For case 1 */
mat `V' = e(V)
return scalar t1 = _b[L.`y']/sqrt(`V'[1,1])

qui reg D.`y' L.`y' /* For case 2 */
mat `V' = e(V)
return scalar t2= _b[L.`y']/sqrt(`V'[1,1])

qui reg D.`y' L.`y' _t /* For case3 */
mat `V' = e(V)
return scalar t3 = _b[L.`y']/sqrt(`V'[1,1])

end

具体参考， chp11 ts 时间序列初步

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