📄 crthegy.m
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function crit = crthegy(type,det,nobs,sig)
% PURPOSE: return critical values for the statistics used in
% Hylleberg, Engle, Granger and Yoo(1990) and
% Ghysels, Lee and Noh (1994)
% ---------------------------------------------------------
% USAGE: crit= crthegy(type,det,nobs,sig)
% where: 'type' = component tested in the algorithm
% ('pi1', 'pi2', 'pi3', 'pi4', 'theta14',
% 'theta24', 'theta34')
% det = 1, no deterministic components
% = 2, constant (default)
% = 3, constant & 3 seasonal dummies
% = 4, constant & trend
% = 5, constant & 3 seasonal dummies & trend
% nobs = # of observations
% sig = significance level for all test
% [1% 5% 10% 90% 95% 99%]
%---------------------------------------------------------
% RETURNS: crit = a critical values
% ---------------------------------------------------------
% References: Hylleberg, Engle, Granger and Yoo(1990), Journal of
% Econometrics, 44, pg 215-38
% Ghysels, Lee and Noh (1994), Journal of Econometrics
% 62, 415-442
%Written by:
% Carlos Alberto Castro
% National Planning Department
% Bogota, Colombia
% Email: ccastro@dnp.gov.co & ccastroir@cable.net.co
if (nargin ~= 4)
error('Wrong # of arguments to crtd');
end;
switch type
case {'pi1'}
pflag=1;
%det=1 (No Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,1) = [ -2.72 -2.29 -1.95 -1.59
-2.60 -2.26 -1.97 -1.61
-2.62 -2.25 -1.93 -1.59
-2.62 -2.23 -1.94 -1.62];
%det=2 (Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,2) = [ -3.66 -3.25 -2.96 -2.62
-3.47 -3.14 -2.88 -2.58
-3.51 -3.17 -2.89 -2.58
-3.48 -3.13 -2.87 -2.57];
%det=3 (Intercept, Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,3) = [ -3.77 -3.39 -3.08 -2.72
-3.55 -3.22 -2.95 -2.63
-3.56 -3.23 -2.94 -2.62
-3.51 -3.18 -2.91 -2.59];
%det=4 (Intercept, No Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,4) = [-4.23 -3.85 -3.56 -3.21
-4.07 -3.73 -3.47 -3.16
-4.09 -3.75 -3.46 -3.16
-4.05 -3.70 -3.44 -3.15];
%det=5 (Intercept, Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,5) = [-4.46 -4.04 -3.71 -3.37
-4.09 -3.80 -3.53 -3.32
-4.15 -3.80 -3.52 -3.21
-4.05 -3.74 -3.49 -3.18];
case {'pi2'}
pflag=2;
%det=1 (No Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,1) = [ -2.67 -2.27 -1.95 -1.60
-2.61 -2.22 -1.92 -1.57
-2.60 -2.23 -1.94 -1.61
-2.60 -2.24 -1.95 -1.61];
%det=2 (Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,2) = [ -2.68 -2.27 -1.95 -1.60
-2.61 -2.24 -1.95 -1.60
-2.60 -2.21 -1.91 -1.58
-2.58 -2.22 -1.92 -1.59];
%det=3 (Intercept, Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,3) = [ -3.75 -3.37 -3.04 -2.69
-3.60 -3.22 -2.94 -2.63
-3.49 -3.15 -2.90 -2.59
-3.50 -3.16 -2.89 -2.60];
%det=4 (Intercept, No Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,4) = [-2.65 -2.24 -1.91 -1.57
-2.58 -2.24 -1.94 -1.60
-2.65 -2.25 -1.96 -1.63
-2.59 -2.25 -1.95 -1.62];
%det=5 (Intercept, Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,5) = [-3.80 -3.41 -3.08 -2.73
-3.60 -3.22 -2.94 -2.63
-3.57 -3.18 -2.93 -2.61
-3.52 -3.18 -2.91 -2.60];
case {'pi3'}
pflag=3;
%det=1 (No Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,1) = [ -2.66 -2.23 -1.93 -1.52
-2.55 -2.18 -1.90 -1.53
-2.58 -2.21 -1.92 -1.56
-2.58 -2.34 -1.92 -1.55];
%det=2 (Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,2) = [-2.64 -2.23 -1.90 -1.55
-2.61 -2.23 -1.90 -1.54
-2.53 -2.18 -1.88 -1.53
-2.57 -2.21 -1.90 -1.53];
%det=3 (Intercept, Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,3) = [-4.31 -3.92 -3.61 -3.24
-4.06 -3.72 -3.44 -3.14
-4.06 -3.72 -3.44 -3.11
-4.00 -3.67 -3.38 -3.07];
%det=4 (Intercept, No Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,4) = [-2.68 -2.27 -1.92 -1.52
-2.56 -2.19 -1.89 -1.54
-2.56 -2.20 -1.90 -1.52
-2.58 -2.21 -1.92 -1.56];
%det=5 (Intercept, Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% (size of the test)
zt(:,:,5) = [-4.46 -4.02 -3.66 -3.28
-4.12 -3.76 -3.48 -3.14
-4.05 -3.72 -3.44 -3.12
-4.04 -3.69 -3.41 -3.10];
case {'pi4'}
pflag=4;
%det=1 (No Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% 90% 95% 97.5% 99% (size of the test)
zt(:,:,1) = [ -2.51 -2.11 -1.76 -1.35 1.33 1.72 2.05 2.49
-2.43 -2.01 -1.68 -1.32 1.31 1.67 2.00 2.40
-2.44 -1.99 -1.68 -1.31 1.30 1.66 1.99 2.38
-2.43 -1.98 -1.65 -1.30 1.29 1.67 1.97 2.36];
%det=2 (Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% 90% 95% 97.5% 99% (size of the test)
zt(:,:,2) = [-2.44 -2.06 -1.72 -1.33 1.30 1.68 2.04 2.41
-2.38 -1.99 -1.68 -1.30 1.28 1.65 1.97 2.32
-2.36 -1.98 -1.68 -1.31 1.27 1.65 1.97 2.31
-2.36 -1.98 -1.66 -1.29 1.28 1.65 1.96 2.30];
%det=3 (Intercept, Seasonal Dummy, No Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% 90% 95% 97.5% 99% (size of the test)
zt(:,:,3) = [-2.86 -2.37 -1.98 -1.53 1.54 1.96 2.35 2.81
-2.78 -2.32 -1.96 -1.53 1.52 1.93 2.29 2.73
-2.72 -2.31 -1.96 -1.52 1.51 1.92 2.28 2.71
-3.74 -2.33 -1.96 -1.54 1.53 1.95 2.32 2.78];
%det=4 (Intercept, No Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% 90% 95% 97.5% 99% (size of the test)
zt(:,:,4) = [-2.41 -2.05 -1.70 -1.33 1.26 1.64 1.96 2.37
-3.38 -1.97 -1.65 -1.28 1.28 1.65 1.98 2.32
-2.36 -1.97 -1.64 -1.29 1.26 1.62 1.92 2.31
-2.35 -1.97 -1.66 -1.29 1.26 1.64 1.96 2.30];
%det=5 (Intercept, Seasonal Dummy, Trend)
%rows 48 100 136 200
%columns 1% 2.5% 5% 10% 90% 95% 97.5% 99% (size of the test)
zt(:,:,5) = [-2.75 -2.26 -1.91 -1.48 1.51 1.97 2.34 2.78
-2.76 -2.32 -1.94 -1.51 1.51 1.92 2.28 2.69
-2.71 -2.78 -1.94 -1.51 1.53 1.96 2.31 2.78
-2.65 -2.27 -1.92 -1.48 1.55 1.97 2.31 2.71];
case {'theta14'}
pflag=5;
%det=1 (No Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 160 200 400
%columns 10% 5% (size of the test)
zt(:,:,1) = [2.11 2.62
2.11 2.55
2.06 2.53
2.12 2.56
2.07 2.53];
%det=2 (Intercept, No Seasonal Dummy, No Trend)
%rows 48 100 160 200 400
%columns 10% 5% (size of the test)
zt(:,:,2) = [2.86 3.47
2.86 3.37
2.81 3.38
2.81 3.32
2.79 3.29];
%det=3 (Intercept, Seasonal Dummy, No Trend)
%rows 48 100 160 200 400
%columns 10% 5% (size of the test)
zt(:,:,3) = [5.02 5.96
4.95 5.74
4.90 5.69
4.87 5.58
4.86 5.55];
%det=4 (Intercept, No Seasonal Dummy, Trend)
%rows 48 100 160 200 400
%columns 10% 5% (size of the test)
zt(:,:,4) = [3.60 4.28
3.58 4.26
3.55 4.13
3.55 4.12
3.54 4.09];
%det=5 (Intercept, Seasonal Dummy, Trend)
%rows 48 100 160 200 400
%columns 10% 5% (size of the test)
zt(:,:,5) = [5.71 6.53
5.68 6.47
5.56 6.33
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