ztcrit.m

计量工具箱

function crit = ztcrit(nobs,p)
% PURPOSE: return critical values for the Zt statistic used in adf()
% ---------------------------------------------------------
% USAGE:   crit = ztcrit(nobs,p);
% where:   nobs = # of observations
%             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]


 zt =[ -2.63467   -1.95254   -1.62044   0.910216    1.30508    2.08088
  -3.63993   -2.94935   -2.61560  -0.369306 -0.0116304   0.666745
  -4.20045   -3.54490   -3.21450   -1.20773  -0.896215  -0.237604
  -4.65813   -3.99463   -3.66223   -1.69214   -1.39031  -0.819931
  -5.07175   -4.39197   -4.03090   -2.06503   -1.78329   -1.21830
  -5.45384   -4.73277   -4.39304   -2.40333   -2.15433   -1.62357
  -5.82090   -5.13053   -4.73415   -2.66466   -2.39868   -1.88193
  -2.53279   -1.94976   -1.62656   0.915249    1.31679    2.11787
  -3.56634   -2.93701   -2.61518  -0.439283 -0.0498821   0.694244
  -4.08920   -3.46145   -3.17093   -1.25839  -0.919533  -0.298641
  -4.56873   -3.89966   -3.59161   -1.72543   -1.44513  -0.894085
  -4.97062   -4.33552   -4.00795   -2.12519   -1.85785   -1.30566
  -5.26901   -4.62509   -4.29928   -2.42113   -2.15002   -1.65832
  -5.54856   -4.95553   -4.63476   -2.71763   -2.46508   -1.99450
  -2.60249   -1.94232   -1.59497   0.912961    1.30709    2.02375
  -3.43911   -2.91515   -2.58414  -0.404598 -0.0481033   0.538450
  -4.00519   -3.46110   -3.15517   -1.25332  -0.958071  -0.320677
  -4.46919   -3.87624   -3.58887   -1.70354   -1.44034  -0.920625
  -4.84725   -4.25239   -3.95439   -2.11382   -1.85495   -1.26406
  -5.15555   -4.59557   -4.30149   -2.41271   -2.19370   -1.70447
  -5.46544   -4.89343   -4.58188   -2.74151   -2.49723   -2.02390
  -2.58559   -1.94477   -1.62458   0.905676    1.30371    2.01881
  -3.46419   -2.91242   -2.58837  -0.410558 -0.0141618   0.665034
  -4.00090   -3.45423   -3.16252   -1.24040  -0.937658  -0.304433
  -4.45303   -3.89216   -3.61209   -1.74246   -1.48280  -0.906047
  -4.79484   -4.22115   -3.92941   -2.11434   -1.83632   -1.30274
  -5.15005   -4.58359   -4.30336   -2.44972   -2.21312   -1.68330
  -5.42757   -4.88604   -4.60358   -2.74044   -2.50205   -2.04008
  -2.65229   -1.99090   -1.66577   0.875165    1.27068    2.04414
  -3.49260   -2.87595   -2.56885  -0.416310 -0.0488941   0.611200
  -3.99417   -3.42290   -3.13981   -1.25096  -0.950916  -0.310521
  -4.42462   -3.85645   -3.56568   -1.73108   -1.45873  -0.934604
  -4.72243   -4.22262   -3.94435   -2.10660   -1.84233   -1.26702
  -5.12654   -4.55072   -4.24765   -2.43456   -2.18887   -1.73081
  -5.46995   -4.87930   -4.57608   -2.71226   -2.48367   -2.00597
  -2.63492   -1.96775   -1.62969   0.904516    1.31371    2.03286
  -3.44558   -2.84182   -2.57313  -0.469204  -0.128358   0.553411
  -3.99140   -3.41543   -3.13588   -1.23585  -0.944500  -0.311271
  -4.43404   -3.84922   -3.56413   -1.73854   -1.48585  -0.896978
  -4.75946   -4.19562   -3.91052   -2.09997   -1.86034   -1.32987
  -5.14042   -4.56772   -4.25699   -2.43882   -2.18922   -1.67371
  -5.39389   -4.85343   -4.57927   -2.73497   -2.49921   -2.00247
  -2.58970   -1.95674   -1.61786   0.902516    1.32215    2.05383
  -3.44036   -2.86974   -2.58294  -0.451590 -0.0789340   0.631864
  -3.95420   -3.43052   -3.13924   -1.23328  -0.938986  -0.375491
  -4.40180   -3.79982   -3.52726   -1.71598   -1.44584  -0.885303
  -4.77897   -4.21672   -3.93324   -2.12309   -1.88431   -1.33916
  -5.13508   -4.56464   -4.27617   -2.44358   -2.18826   -1.72784
  -5.35071   -4.82097   -4.54914   -2.73377   -2.48874   -2.01437
  -2.60653   -1.96391   -1.63477   0.890881    1.29296    1.97163
  -3.42692   -2.86280   -2.57220  -0.463397 -0.0922419   0.613101
  -3.99299   -3.41999   -3.13524   -1.23857  -0.929915  -0.337193
  -4.41297   -3.83582   -3.55450   -1.72408   -1.44915  -0.872755
  -4.75811   -4.18759   -3.92599   -2.12799   -1.88463   -1.37118
  -5.08726   -4.53617   -4.26643   -2.44694   -2.19109   -1.72329
  -5.33780   -4.82542   -4.54802   -2.73460   -2.50726   -2.02927
  -2.58687   -1.93939   -1.63192   0.871242    1.26611    1.96641
  -3.38577   -2.86443   -2.57318  -0.391939 -0.0498984   0.659539
  -3.93785   -3.39130   -3.10317   -1.24836  -0.956349  -0.334478
  -4.39967   -3.85724   -3.55951   -1.74578   -1.46374  -0.870275
  -4.74764   -4.20488   -3.91350   -2.12384   -1.88202   -1.36853
  -5.07739   -4.52487   -4.25185   -2.43674   -2.22289   -1.72955
  -5.36172   -4.81947   -4.53837   -2.74448   -2.51367   -2.03065
  -2.58364   -1.95730   -1.63110   0.903082    1.28613    2.00605
  -3.45830   -2.87104   -2.59369  -0.451613  -0.106025   0.536687
  -3.99783   -3.43182   -3.16171   -1.26032  -0.956327  -0.305719
  -4.40298   -3.86066   -3.56940   -1.74588   -1.48429  -0.914111
  -4.84459   -4.23012   -3.93845   -2.15135   -1.89876   -1.39654
  -5.10571   -4.56846   -4.28913   -2.47637   -2.22517   -1.79586
  -5.39872   -4.86396   -4.58525   -2.78971   -2.56181   -2.14042];
  
  i = round(nobs/50) + 1;
  
  if (nobs < 50)
        i = i - 1 ;
  end;
       
  if (i > 10);
      i = 10;
  end;
     
  if (p > 5)
   crit = zeros(6,1);
  end;
  
  i = (i-1)*7 + p + 2;
  
  crit = zt(i,:)';