Grocer Function
NAME
rztcrit - critical values for the cadf Zt statistic
CALLING SEQUENCE
[crit]=rztcrit(nobs,k,p)
PARAMETERS
Input
-
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
Output
-
crit
: a (6 x 1) vector of critical values: [1% 5% 10% 90% 95% 99%] quintiles
DESCRIPTION
Computes critical values for the Zt statistic used in cadf().
EXAMPLE
1) rescadf('crit')=rztcrit(rescadf('nobs'),size(rols('x'),2)-grocer_p-1,grocer_p)
2) crit=rzcrit(100,4,1)
Example 1 is a somehow complex example taken from cadf. Example 2 provides the
critical values for a cointegrating relation with 100 observations, 4 variables
and a simple time trend.
AUTHOR
Eric Dubois 2002