https://community.jmp.com/t5/Discussions/Significance-of-augmented-Dickey-Fuller-tests/m-p/362#M362 This is the response from JMP Technical Support:<BR /><BR />Dear Mark,<BR /><BR />Thank you for your question regarding ADF tests in JMP.<BR /><BR />The values printed for the Zero Mean, Single Mean and Trend ADF in JMP are the Tau statistics associated with the Dickey-Fuller test. Because Dickey and Fuller produced look-up tables for the critical values associated with the distribution of the Tau statistic, and because the associated p-values would only be approximations, the developer decided not to print approximate p-values for these statistics. Tabled values may be found in the following references:<BR /><BR />Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the Estimation for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 427-431. <BR /><BR />Dickey, D. A., Hasza, D. P., and Fuller, W. A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79, 355-367. <BR /><BR />Another excellent reference for the Dickey-Fuller tests is:<BR /><BR />Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press. <BR /><BR />You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.<BR /><BR />I hope this information is helpful. If you have additional questions on this matter, please let me know by April 21, 2009. I will keep this track open for one week. Thank you for using SAS.<BR /><BR />Best Regards,<BR /><BR />Wen Tue, 14 Apr 2009 18:23:18 GMT mfisher 2009-04-14T18:23:18Z https://community.jmp.com/t5/Discussions/Significance-of-augmented-Dickey-Fuller-tests/m-p/361#M361 The time series analysis platform tests for stationarity with three augmented Dickey-Fuller (ADF) tests: zero mean, single mean and trend. It does not report a significance value for any of the tests. How do you know if stationarity is present? Mon, 06 Apr 2009 18:49:17 GMT https://community.jmp.com/t5/Discussions/Significance-of-augmented-Dickey-Fuller-tests/m-p/361#M361 mfisher 2009-04-06T18:49:17Z https://community.jmp.com/t5/Discussions/Significance-of-augmented-Dickey-Fuller-tests/m-p/362#M362 This is the response from JMP Technical Support:<BR /><BR />Dear Mark,<BR /><BR />Thank you for your question regarding ADF tests in JMP.<BR /><BR />The values printed for the Zero Mean, Single Mean and Trend ADF in JMP are the Tau statistics associated with the Dickey-Fuller test. Because Dickey and Fuller produced look-up tables for the critical values associated with the distribution of the Tau statistic, and because the associated p-values would only be approximations, the developer decided not to print approximate p-values for these statistics. Tabled values may be found in the following references:<BR /><BR />Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the Estimation for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 427-431. <BR /><BR />Dickey, D. A., Hasza, D. P., and Fuller, W. A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79, 355-367. <BR /><BR />Another excellent reference for the Dickey-Fuller tests is:<BR /><BR />Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press. <BR /><BR />You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.<BR /><BR />I hope this information is helpful. If you have additional questions on this matter, please let me know by April 21, 2009. I will keep this track open for one week. Thank you for using SAS.<BR /><BR />Best Regards,<BR /><BR />Wen Tue, 14 Apr 2009 18:23:18 GMT https://community.jmp.com/t5/Discussions/Significance-of-augmented-Dickey-Fuller-tests/m-p/362#M362 mfisher 2009-04-14T18:23:18Z