I asked a similar question and this is the response from JMP Technical Support: Dear Mark, Thank you for your question regarding ADF tests in JMP. 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: 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. 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. Another excellent reference for the Dickey-Fuller tests is: Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press. You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.
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