critecm — critical values and p-values for the error correction test
[crit,pval] = critecm(t,k,d,T,h)
t = t-value on the error correction term
k = size of the cointegrationg vector
d = type of deterministic variables
- d = -1, no deterministic part
- d = 0, for constant term
- d = 1, for constant plus time-trend
- d = 2, for costant plus quadratic time-trend
T = Estimation sample size
h = total number of regressors in the ECM (that is, of unrestricted coefficients)
crit = critical value of the test
pval = p-value of the test
NOTE THAT THE PROGRAMMER WHO WANTS TO RE-USE THE TABLES PROVIDED IN GROCER MUST BEFORE OBTAIN WRITTEN CONSENT FROM N.R. ERICSSON OR J.G. MACKINNON.