DFCRIT: MATLAB module to calculate Critical Dickey-Fuller values and level of significance

Ludwig Kanzler ()

Statistical Software Components from Boston College Department of Economics

Abstract: [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).

Language: MATLAB
Date: 1998-04-23

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http://fmwww.bc.edu/repec/bocode/d/dfcrit.m program code (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t871804

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