Grocer Function
NAME
c_sjt - critical values for Johansen trace statistic
CALLING SEQUENCE
[jc]=c_sjt(n,p)
PARAMETERS
Input
-
n
: dimension of the VAR system
-
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
cvt(i,:) = c_sjt(m-i+1,grocer_p);
Example taken from function johansen. Should not have many other uses.
AUTHOR
Eric Dubois 2002