rztcrit.m

计量工具箱

function crit = rztcrit(nobs,k,p)
% PURPOSE: return critical values for the Zt statistic used in cadf()
% ---------------------------------------------------------
% USAGE:   crit = rztcrit(nobs,p);
% where:   nobs = # of observations
%             k = # of variables in x-matrix from cadf()
%             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
% ---------------------------------------------------------          
% NOTE: only works for p < 5
%       Computed using 10000 iterations.
% ---------------------------------------------------------          
% RETURNS: crit = a (6 x 1) vector of critical values
%                 [1% 5% 10% 90% 95% 99%] quintiles        
%---------------------------------------------------
% References: Said and Dickey (1984) 'Testing for Unit Roots in
% Autoregressive Moving Average Models of Unknown Order', 
% Biometrika, Volume 71, pp. 599-607.

% written by:
% James P. LeSage, Dept of Economics
% University of Toledo
% 2801 W. Bancroft St,
% Toledo, OH 43606
% [e-mail]



     if ( nobs >= 500) 
     zt = [ -3.28608   -2.71123   -2.44427  -0.228267   0.196845    1.07845
  -3.88031   -3.35851   -3.03798   -1.01144  -0.653342   0.153117
  -4.36339   -3.84931   -3.52926   -1.59069   -1.27691  -0.688550
  -4.69226   -4.16473   -3.91069   -2.03499   -1.75167   -1.16909
  -5.12583   -4.55603   -4.24350   -2.43062   -2.15918   -1.63241
  -5.45902   -4.85433   -4.54552   -2.68999   -2.45059   -1.96213
  -5.68874   -5.13084   -4.85451   -3.01287   -2.77470   -2.34774
  -3.95399   -3.33181   -3.01057  -0.964258  -0.632140   0.148153
  -4.29147   -3.77581   -3.47606   -1.47435   -1.15649  -0.382089
  -4.80216   -4.16163   -3.87422   -1.95661   -1.68975   -1.17624
  -5.08973   -4.49148   -4.22534   -2.34763   -2.09506   -1.52368
  -5.28946   -4.77944   -4.49057   -2.63483   -2.39227   -1.88262
  -5.64107   -5.10086   -4.81771   -2.95313   -2.74233   -2.30293
  -5.84555   -5.26853   -5.01340   -3.21419   -2.95790   -2.50159
  -4.25439   -3.69759   -3.42840   -1.49852   -1.22694  -0.593763
  -4.62332   -4.12603   -3.83833   -1.91632   -1.65271  -0.937750
  -5.09990   -4.50073   -4.18896   -2.26553   -1.97459   -1.41616
  -5.23982   -4.74879   -4.50065   -2.59004   -2.30601   -1.76624
  -5.63745   -5.07700   -4.77794   -2.88029   -2.66305   -2.25529
  -5.87733   -5.31763   -5.03729   -3.17526   -2.94043   -2.54329
  -6.08463   -5.57014   -5.29279   -3.45890   -3.21035   -2.68331
  -4.68825   -4.14264   -3.83668   -1.89022   -1.62543   -1.02171
  -5.00664   -4.43544   -4.14709   -2.24334   -1.94304   -1.29258
  -5.42102   -4.77343   -4.48998   -2.57209   -2.30366   -1.79885
  -5.60249   -5.02686   -4.77574   -2.89195   -2.61726   -2.09253
  -5.90744   -5.31272   -5.04121   -3.16076   -2.89667   -2.44274
  -6.16639   -5.58218   -5.28049   -3.40263   -3.15765   -2.70251
  -6.29638   -5.79252   -5.52324   -3.65372   -3.40115   -2.94514
  -4.99327   -4.43088   -4.13314   -2.19577   -1.94806   -1.33955
  -5.28724   -4.72773   -4.46224   -2.52556   -2.25121   -1.75592
  -5.53603   -5.03231   -4.74442   -2.81101   -2.53978   -2.01464
  -5.85790   -5.28516   -4.99765   -3.11650   -2.85684   -2.38643
  -6.03218   -5.50167   -5.24244   -3.37898   -3.13182   -2.57977
  -6.38137   -5.80056   -5.52693   -3.62856   -3.37482   -2.85511
  -6.60394   -6.03056   -5.73651   -3.83174   -3.56048   -3.09560];
    elseif (400 <= nobs) & (nobs <= 499)
     zt = [ -3.39320   -2.78062   -2.47410  -0.279165   0.172570    1.01757
  -3.81898   -3.34274   -3.04197  -0.984635  -0.632195  0.0786160
  -4.43824   -3.83476   -3.53856   -1.59769   -1.32538  -0.682733
  -4.78731   -4.19879   -3.90468   -2.03620   -1.78519   -1.25540
  -5.15859   -4.55815   -4.27559   -2.40402   -2.15148   -1.64991
  -5.36666   -4.82211   -4.55480   -2.73039   -2.47586   -1.96342
  -5.70533   -5.14149   -4.83768   -2.98968   -2.75467   -2.33244
  -3.88099   -3.31554   -3.00918   -1.01400  -0.666507   0.112207
  -4.35920   -3.76677   -3.47891   -1.47887   -1.17461  -0.457611
  -4.73655   -4.17175   -3.87843   -1.95622   -1.67273   -1.05752
  -5.03407   -4.48465   -4.18736   -2.32047   -2.06844   -1.54620
  -5.37301   -4.80609   -4.50790   -2.65816   -2.39100   -1.90516
  -5.63842   -5.08273   -4.79419   -2.95211   -2.72047   -2.26114
  -5.95823   -5.38482   -5.08735   -3.23862   -2.98661   -2.58060
  -4.29209   -3.74752   -3.44785   -1.49664   -1.19363  -0.540536
  -4.73620   -4.16373   -3.83159   -1.87826   -1.56786  -0.906299
  -4.98331   -4.47817   -4.18238   -2.27544   -1.99733   -1.45956
  -5.34322   -4.77455   -4.47877   -2.60581   -2.34669   -1.82075
  -5.61331   -5.05800   -4.77543   -2.91228   -2.64829   -2.13015
  -5.94606   -5.34094   -5.05669   -3.17314   -2.92833   -2.50131
  -6.17994   -5.62560   -5.32022   -3.45919   -3.21928   -2.73838
  -4.68326   -4.13893   -3.83504   -1.88594   -1.59783   -1.02900
  -5.01959   -4.44111   -4.16075   -2.24225   -1.96550   -1.36753
  -5.35312   -4.76318   -4.48253   -2.53350   -2.26862   -1.74966
  -5.65846   -5.05443   -4.74318   -2.86021   -2.61633   -2.15096
  -5.89297   -5.33097   -5.03686   -3.13780   -2.88399   -2.36895
  -6.11791   -5.59035   -5.29834   -3.39283   -3.13194   -2.64558
  -6.43463   -5.83831   -5.54375   -3.63526   -3.40822   -2.97731
  -4.99049   -4.45174   -4.15603   -2.22388   -1.94107   -1.40933
  -5.37057   -4.77929   -4.48921   -2.54431   -2.27297   -1.72675
  -5.61805   -5.06136   -4.76461   -2.81651   -2.54785   -2.04956
  -5.88425   -5.29788   -5.01558   -3.10698   -2.83781   -2.33035
  -6.15156   -5.57259   -5.28198   -3.36062   -3.10140   -2.61065
  -6.37314   -5.80031   -5.51577   -3.63686   -3.38505   -2.87176
  -6.58251   -6.03057   -5.74573   -3.85037   -3.60485   -3.11932 ];
    elseif (300 <= nobs) &  (nobs <= 399)
    zt =[ -3.36203   -2.77548   -2.46139  -0.286807   0.132866    1.03471
  -3.90239   -3.32711   -3.03723  -0.996528  -0.605509   0.118508
  -4.32982   -3.81156   -3.51879   -1.59453   -1.29025  -0.576746
  -4.81264   -4.24058   -3.93314   -2.05226   -1.79734   -1.23867
  -5.09929   -4.53317   -4.26022   -2.39047   -2.15062   -1.66121
  -5.40020   -4.84728   -4.56541   -2.72073   -2.48276   -2.01238
  -5.72554   -5.14543   -4.85290   -3.03642   -2.79747   -2.38877
  -3.93064   -3.31039   -3.00695   -1.02551  -0.692057   0.104883
  -4.30844   -3.76971   -3.48291   -1.49867   -1.18293  -0.449296
  -4.69802   -4.16002   -3.85937   -1.95172   -1.66941   -1.07873
  -5.09621   -4.51913   -4.22178   -2.32005   -2.06940   -1.52440
  -5.39988   -4.84499   -4.54918   -2.66241   -2.40886   -1.94518
  -5.67194   -5.12143   -4.83266   -2.95787   -2.71575   -2.26783
  -5.90971   -5.38093   -5.10006   -3.24590   -3.00999   -2.55590
  -4.32518   -3.77645   -3.46220   -1.48724   -1.19931  -0.531819
  -4.66166   -4.12423   -3.82665   -1.85992   -1.56770  -0.952556
  -5.06263   -4.47715   -4.19478   -2.27228   -1.98935   -1.40857
  -5.39577   -4.79037   -4.51644   -2.60186   -2.32067   -1.82448
  -5.62591   -5.09997   -4.78451   -2.89543   -2.66108   -2.16281
  -5.96117   -5.38487   -5.08529   -3.19176   -2.95677   -2.45750
  -6.18044   -5.61962   -5.32402   -3.44453   -3.18600   -2.75024
  -4.69949   -4.11581   -3.84809   -1.91652   -1.63097   -1.06354
  -5.02878   -4.48050   -4.18169   -2.20023   -1.92196   -1.37122
  -5.37891   -4.82102   -4.49501   -2.55100   -2.29407   -1.76313
  -5.59926   -5.07560   -4.78056   -2.89047   -2.61834   -2.11372
  -5.97404   -5.35040   -5.03148   -3.15838   -2.91666   -2.44570
  -6.20250   -5.64756   -5.33112   -3.40255   -3.16800   -2.73795
  -6.40258   -5.84695   -5.58164   -3.67811   -3.42766   -2.97315
  -5.02873   -4.44103   -4.15164   -2.19792   -1.94100   -1.39467
  -5.36834   -4.76996   -4.46992   -2.53666   -2.27257   -1.73355
  -5.59537   -5.05016   -4.78520   -2.83093   -2.57279   -2.07503
  -5.85590   -5.33224   -5.03207   -3.11489   -2.86007   -2.36551
  -6.20771   -5.62475   -5.32273   -3.36439   -3.10806   -2.63899
  -6.38397   -5.87287   -5.56819   -3.63376   -3.37917   -2.87215
  -6.69353   -6.08474   -5.78590   -3.87231   -3.61022   -3.14908] ;
     elseif (200 <= nobs) & (nobs <= 299) 
    zt =[ -3.35671   -2.77519   -2.46594  -0.254099   0.196134    1.07222
  -3.92428   -3.38037   -3.08215   -1.00759  -0.634217  0.0945623
  -4.48168   -3.83395   -3.54540   -1.60205   -1.31840  -0.734322
  -4.82954   -4.23468   -3.94803   -2.05472   -1.80434   -1.27245
  -5.19748   -4.57984   -4.28594   -2.42219   -2.18483   -1.73071
  -5.48348   -4.89872   -4.60436   -2.75423   -2.51959   -2.06231
  -5.82241   -5.21284   -4.90675   -3.03145   -2.79112   -2.38818
  -3.88242   -3.33232   -3.01999  -0.988265  -0.633419   0.121320
  -4.36630   -3.76414   -3.46091   -1.48625   -1.15077  -0.498422
  -4.76842   -4.20038   -3.89975   -1.93433   -1.63407   -1.04290
  -5.05007   -4.54203   -4.23534   -2.35721   -2.10330   -1.57965
  -5.46384   -4.89647   -4.60567   -2.66674   -2.41227   -1.92884
  -5.80068   -5.17731   -4.86360   -2.97354   -2.71548   -2.25152
  -6.01552   -5.48792   -5.18651   -3.27732   -3.05193   -2.62313
  -4.37038   -3.77348   -3.48123   -1.46468   -1.19712  -0.522913
  -4.71164   -4.17296   -3.87214   -1.88824   -1.61792  -0.998973
  -5.07287   -4.49791   -4.19539   -2.25537   -1.97775   -1.42073
  -5.43158   -4.85660   -4.55542   -2.59513   -2.34448   -1.88253
  -5.71928   -5.15509   -4.85008   -2.91869   -2.67892   -2.16537
  -5.95901   -5.38920   -5.10190   -3.21921   -2.97088   -2.49105
  -6.24842   -5.69150   -5.39236   -3.47876   -3.22814   -2.81954
  -4.76132   -4.12120   -3.81887   -1.87640   -1.57988  -0.959247
  -5.07595   -4.49599   -4.18062   -2.22181   -1.95429   -1.32816
  -5.41865   -4.82420   -4.51442   -2.54584   -2.28898   -1.71129
  -5.69988   -5.10837   -4.81872   -2.87861   -2.62537   -2.10745
  -6.03815   -5.41121   -5.11067   -3.15726   -2.89572   -2.39236
  -6.31746   -5.67322   -5.35729   -3.42445   -3.18255   -2.72287
  -6.54722   -5.92036   -5.63475   -3.68619   -3.44087   -2.99590
  -5.06954   -4.48980   -4.16461   -2.22770   -1.95682   -1.39685
  -5.35737   -4.81634   -4.52940   -2.54416   -2.26355   -1.73669
  -5.65024   -5.06222   -4.78444   -2.84019   -2.55801   -2.03438
  -6.01717   -5.38593   -5.07183   -3.10854   -2.83015   -2.38316
  -6.22810   -5.62644   -5.32983   -3.37920   -3.11022   -2.58412
  -6.51923   -5.91250   -5.61917   -3.64604   -3.37807   -2.91979
  -6.74433   -6.15641   -5.85483   -3.88559   -3.62884   -3.22791] ;
     elseif (1 <= nobs) & (nobs <=199) 
   zt = [  -3.40026   -2.81980   -2.49012  -0.284064   0.162780   0.991182
  -4.02456   -3.40397   -3.08903  -0.998765  -0.638257  0.0929366
  -4.50406   -3.91574   -3.60618   -1.64640   -1.34126  -0.674994
  -4.97750   -4.31424   -4.00116   -2.07039   -1.80758   -1.24622
  -5.29795   -4.65255   -4.36236   -2.43756   -2.20744   -1.74384
  -5.69006   -5.02821   -4.70153   -2.78533   -2.55054   -2.12221
  -6.01114   -5.32900   -5.01614   -3.10458   -2.87108   -2.45944
  -4.03875   -3.38465   -3.06445   -1.01452  -0.670171  0.0830536
  -4.49697   -3.83781   -3.52924   -1.50657   -1.18131  -0.494574
  -4.85358   -4.24290   -3.92668   -1.93268   -1.67668   -1.11969
  -5.23415   -4.63779   -4.32076   -2.35203   -2.10299   -1.58236
  -5.60428   -4.99996   -4.67591   -2.71512   -2.45663   -1.97999
  -5.89816   -5.30839   -4.98307   -3.01998   -2.78403   -2.33971
  -6.24667   -5.61312   -5.28841   -3.32373   -3.07681   -2.65243
  -4.50725   -3.84730   -3.53859   -1.50198   -1.21063  -0.494936
  -4.87844   -4.22489   -3.92431   -1.88702   -1.59187  -0.972172
  -5.20113   -4.56724   -4.27167   -2.29534   -2.03226   -1.43479
  -5.61984   -4.95138   -4.63381   -2.62062   -2.34903   -1.81713
  -5.93516   -5.26326   -4.95702   -2.97158   -2.70668   -2.22094
  -6.20848   -5.57967   -5.28403   -3.27115   -3.01521   -2.58367
  -6.52806   -5.84919   -5.55596   -3.54144   -3.30790   -2.88872
  -4.84291   -4.21809   -3.89360   -1.88296   -1.62337  -0.998749
  -5.18976   -4.56495   -4.23781   -2.23973   -1.95745   -1.36282
  -5.49570   -4.91049   -4.57949   -2.54844   -2.30040   -1.81108
  -5.85200   -5.24753   -4.90738   -2.89515   -2.62635   -2.11513
  -6.25788   -5.59734   -5.23154   -3.20543   -2.95304   -2.49876
  -6.42744   -5.80415   -5.49459   -3.46836   -3.20457   -2.78454
  -6.79276   -6.11558   -5.77461   -3.74987   -3.49703   -3.07378
  -5.25985   -4.56675   -4.25742   -2.24159   -1.93760   -1.40055
  -5.53963   -4.88523   -4.55008   -2.53159   -2.26558   -1.74469
  -5.86277   -5.23537   -4.92559   -2.84160   -2.58154   -2.08171
  -6.16676   -5.52360   -5.22425   -3.12455   -2.84785   -2.41246
  -6.43205   -5.80308   -5.46594   -3.42417   -3.19918   -2.69791
  -6.81177   -6.11377   -5.74083   -3.67826   -3.41996   -2.95145
  -6.98960   -6.36882   -6.03754   -3.95573   -3.71192   -3.30766];
 end;
 
 if ((k < 1) | (k > 5))
  crit = zeros(6,1);
 end;
 if (p > 5) ;
  crit = zeros(6,1);
 end;
 
 n = (k-1)*7 + p + 2 ;
 
 crit = zt(n,:)';