In this paper we investigated the DF distribution with sample size under 55 by Monte Carlo simulation and gave a critical table for DF tests with test level of 0.01, 0.05 and 0.1. We also analyzed the test power of DF statistic in small samples. Because the maximum observations of annual economic time series for some countries are not so large, the research on small sample distribution of DF and ADF statisticis is very necessary.