A Computer Program to Run a Monte Carlo Experiment: A Dickey-Fuller Distribution

We present a computer program to run a Monte Carlo experiment. We use as example a Dickey-Fuller distribution. Avoiding the use of matrices, the proposed program is easier to put into practice than the code designed by, among others, Brooks (2002) or Fantazzini (2007). Some remarks about the Monte Carlo method and unit root tests are included. At the end we compare our critical values with the ones in Brooks (2002), Charemza and Deadman (1992), Enders (2004), and Patterson (2000).