Grocer Function
NAME
ztcrit - critical values for the ADF Zt statistic
CALLING SEQUENCE
[crit]=ztcrit(nobs,p)
PARAMETERS
Input
-
nobs
: # of observations
-
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, for higher order polynomial
Output
-
crit = a (6 x 1) vector of critical values: [1% 5% 10% 90% 95% 99%] quintiles
DESCRIPTION
Returns critical values for the Zt statistic used in adf().
EXAMPLE
crit=ztcrit(nobs,p)
This Example is taken from function adf...
AUTHOR
Eric Dubois 2002