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c_sjt

critical values for Johansen trace statistic

CALLING SEQUENCE

[jc]=c_sjt(n,p)

PARAMETERS

Input

• n: number of zero eigenvalues under the null hypothesis

• 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

s = c_sjt(4,1)
// provides Johansen maximum eigenvalue statistic with 4 zero eignevalues and a time trend in the VAR

AUTHOR

Eric Dubois 2002

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