English, Article edition: DFCRIT: MATLAB module to calculate Critical Dickey-Fuller values and level of significance Ludwig Kanzler

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Bookmark: http://trove.nla.gov.au/version/103938
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  • code
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  • English

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Title
  • DFCRIT: MATLAB module to calculate Critical Dickey-Fuller values and level of significance
Author
  • Ludwig Kanzler
Physical Description
  • code
Notes
  • [SIG, CRIT] =​ DFCRIT (TRATIO, SSIZE, VARIANT) computes the critical values CRIT of the Dickey-Fuller distribution for given sample size SSIZE and returns the level SIG, if any, at which t-value TRATIO is significant. Critical values are returned as a row vector for the 1%, 5% and 10% significance levels of a one-sided test. The relevant critical values CRIT are computed from a response surface developed by MacKinnon (1991).
  • RePEc:boc:bocode:t871804
Language
  • English
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