new critical values for unit root test statistic in financial time series

In the financial time series that use dickey-fuller test for the stationary,there are a lot of differences in the critical values. some do not state clearly which truemodel is used, so the null hypothesis is not clear. sometimes it seems that differentmodels are used at the same time and sometimes there is the exact same models but thecritical values are just different. so, this paper discusses the asymptotic distributionsof the unit root test that is the dickey-fuller test statistic to find the critical valuesfor this test. finally, based on the simulation study, the critical values of this test arepresented and then compared with the hamilton’s critical values in the literature.