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critecm

critical values and p-values for the error correction test

CALLING SEQUENCE

[crit,pval] = critecm(t,k,d,T,h)

PARAMETERS

Input

* 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)

 

Output

* crit = critical value of the test

* pval = p-value of the test

DESCRIPTION

Computes critical values and p-values using the response surfaces in Ericsson and MacKinnon (1999) as implemented in the program ECMtest.xls (version 1.0)

AUTHOR

Emmanuel Michaux 2007-2013

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