If the calculated tau value is less than the critical value in the table above, then we have a significant result; otherwise, we accept the null hypothesis that there is cointegration.
The following is a more precise way of estimating these critical values:
crit = t + u/N + v/N2 + w/N3
where t, u, v and w are defined as follows:
The values for alpha = .025 is calculated as an interpolation between alpha = .01 and .05.
Download Table
Click here to download the Excel workbook with the above table.
References
MacKinnon, J. G. (1990) Critical values for cointegration tests.
https://www.econ.queensu.ca/research/working-papers/1227
Mann, J. (2015) Video 7 – Cointegration. Gretl Instructional Series
https://www.youtube.com/watch?v=bJgx3JLb7fI
Gonzalo, J. (2014) Cointegration and error correction.
http://www.eco.uc3m.es/~jgonzalo/teaching/EconometriaII/cointegration.HTM