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rztcrit

critical values for the cadf Zt statistic

CALLING SEQUENCE

[crit]=rztcrit(nobs,k,p)

PARAMETERS

Input

* nobs= # of observations

* k= # of variables in x-matrix from cadf()

* p= order of time polynomial in the null-hypothesis

  - p =  0, for constant term

  - p =  1, for constant plus time-trend

  - p = 2, 3 or 4 for higher order time trend polynomial

 

Output

* crit= a (6 x 1) vector of critical values: [1% 5% 10% 90% 95% 99%] quintiles

DESCRIPTION

Computes critical values for the Zt statistic used in cadf().

EXAMPLE

rescadf('crit')=rztcrit(rescadf('nobs'),size(rols('x'),2)-grocer_p-1,grocer_p)
// A somehow complex example taken from cadf.
crit=rzcrit(100,4,1)
// Provides the critical values for a cointegrating relation with 100 observations, 4 variables and a simple time trend.

AUTHOR

Eric Dubois 2002

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