Grocer Function
NAME
c_sja - critical values for Johansen maximum eigenvalue statistic
CALLING SEQUENCE
[jc]=c_sja(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 maximum eigenvalue statistic for [90% 95% 99%]
DESCRIPTION
Finds critical values for Johansen maximum eigenvalue statistic
EXAMPLE
cvm(i,:) = c_sja(m-i+1,grocer_p)
Example taken from function johansen. Should not have many other uses.
AUTHOR
Eric Dubois 2002