[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).
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
T871804.
Size: 137 lines Programming language: MATLAB Requires: Date of creation: 23 Apr 1998 Date of revision: Handle: RePEc:boc:bocode:t871804
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