critical values for the cadf Zt statistic
[crit]=rztcrit(nobs,k,p)
* 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
* crit= a (6 x 1) vector of critical values: [1% 5% 10% 90% 95% 99%] quintiles
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. | ![]() | ![]() |