Name

c_sjt — critical values for Johansen trace statistic

CALLING SEQUENCE

[jc]=c_sjt(n,p)

PARAMETERS

Input

• n: dimension of the VAR system

• p: order of time polynomial in the null-hypothesis

 - p = -1, no deterministic part

 - p =  0, for constant term

 - p =  1, for constant plus time-trend

 - p >  1  returns no critical values

Output

• jc: a (3x1) vector of percentiles for the trace statistic for [90% 95% 99%]

DESCRIPTION

Finds critical values for Johansen trace statistic.

EXAMPLE

cvt(i,:) = c_sjt(m-i+1,grocer_p);  
 
Example taken from function johansen. Should not have many other uses. 

               

AUTHOR

Eric Dubois 2002