* * PROGRAM PSSBOUNDS * * version 1.0.6 * 8/10/18 * Soren Jordan and Andrew Q. Philips * * ------------------------------------------------------------------------- * ------------------------------------------------------------------------- * ------------------------------------------------------------------------- capture program drop pssbounds capture program define pssbounds, rclass syntax , [OBServations(numlist) fstat(numlist) tstat(numlist) case(string) k(numlist)] version 8 * if previous cmd was dynardl, grab stored values unless something else desired. * If not, check to make sure necessary options specified: if "`observations'" != "" | "`fstat'" != "" | "`case'" != "" | "`k'" != "" { if "`observations'" == "" { di in r _n "option observations is missing" exit 198 } if "`fstat'" == "" { di in r _n "option fstat is missing" exit 198 } if "`case'" == "" { di in r _n "option case is missing" exit 198 } if "`k'" == "" { di in r _n "option k is missing" exit 198 } } else if "`e(cmd)'" == "dynardl" { * grab fstat qui test "`e(laglist)'" loc fstat = "`r(F)'" * grab case loc case = "`e(type)'" * grab k loc k = "`e(k)'" * grab obs loc observations = "`e(N)'" * grab tstat loc tstat = "`e(ldv_t)'" } else { if "`observations'" == "" { di in r _n "option observations is missing" exit 198 } if "`fstat'" == "" { di in r _n "option fstat is missing" exit 198 } if "`case'" == "" { di in r _n "option case is missing" exit 198 } if "`k'" == "" { di in r _n "option k is missing" exit 198 } } * if case = "", assume case(3) if "`case'" == "" { loc case = 3 } * convert case into numeric from Roman numerals, if needed, or return an error: else if "`case'" == "1" | "`case'" == "2" | "`case'" == "3" | "`case'" == "4" | "`case'" == "5" { } else { if "`case'" == "I" { loc case = 1 } else if "`case'" == "II" { loc case = 2 } else if "`case'" == "III" { loc case = 3 } else if "`case'" == "IV" { loc case = 4 } else if "`case'" == "V" { loc case = 5 } else { di in r _n "Case must be either 1, 2, 3, 4 or 5." exit 198 } } loc obs = `observations' tempname fmat tmat * tag observations: if `obs' <= 30 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values not provided" loc fnote2 = "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: Restricted intercept and no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (4.025, 4.025, 5.070, 5.070, 7.595, 7.595 \ /* 0 */ 3.303, 3.797, 4.090, 4.663, 6.027, 6.760 \ /* 1 */ 2.915, 3.695, 3.538, 4.428, 5.155, 6.265 \ /* 2 */ 2.676, 3.586, 3.272, 4.306, 4.614, 5.966 \ /* 3 */ 2.525, 3.560, 3.058, 4.223, 4.280, 5.840 \ /* 4 */ 2.407, 3.517, 2.910, 4.193, 4.134, 5.761 \ /* 5 */ 2.334, 3.515, 2.794, 4.148, 3.976, 5.691 \ /* 6 */ 2.277, 3.498, 2.730, 4.163, 3.864, 5.694) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.840, 6.840, 8.770, 8.770, 13.680, 13.680 \ /* 0 */ 4.290, 5.080, 5.395, 6.350, 8.170, 9.285 \ /* 1 */ 3.437, 4.470, 4.267, 5.473, 6.183, 7.873 \ /* 2 */ 3.008, 4.150, 3.710, 5.018, 5.333, 7.063 \ /* 3 */ 2.752, 3.994, 3.354, 4.774, 4.768, 6.670 \ /* 4 */ 2.578, 3.858, 3.125, 4.608, 4.537, 6.370 \ /* 5 */ 2.457, 3.797, 2.970, 4.499, 4.270, 6.211 \ /* 6 */ 2.384, 3.728, 2.875, 4.445, 4.104, 6.151) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: Unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.785, 5.785, 7.040, 7.040, 10.200, 10.200 \ /* 0 */ 4.427, 4.957, 5.377, 5.963, 7.593, 8.350 \ /* 1 */ 3.770, 4.535, 4.535, 5.415, 6.428, 7.505 \ /* 2 */ 3.378, 4.274, 4.048, 5.090, 5.666, 6.988 \ /* 3 */ 3.097, 4.118, 3.715, 4.878, 5.205, 6.640 \ /* 4 */ 2.907, 4.010, 3.504, 4.743, 4.850, 6.473 \ /* 5 */ 2.781, 3.941, 3.326, 4.653, 4.689, 6.358 \ /* 6 */ 2.681, 3.887, 3.194, 4.604, 4.490, 6.328) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.340, 10.340, 12.740, 12.740, 18.560, 18.560 \ /* 0 */ 6.010, 6.780, 7.360, 8.265, 10.605, 11.650 \ /* 1 */ 4.577, 5.600, 5.550, 6.747, 7.977, 9.413 \ /* 2 */ 3.868, 4.965, 4.683, 5.980, 6.643, 8.313 \ /* 3 */ 3.430, 4.624, 4.154, 5.540, 5.856, 7.578 \ /* 4 */ 3.157, 4.412, 3.818, 5.253, 5.347, 7.242 \ /* 5 */ 2.977, 4.260, 3.576, 5.065, 5.046, 6.930 \ /* 6 */ 2.483, 4.160, 3.394, 4.939, 4.779, 6.821) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 35 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.980, 3.980, 4.945, 4.945, 7.350, 7.350 \ /* 0 */ 3.223, 3.757, 3.957, 4.530, 5.763, 6.480 \ /* 1 */ 2.845, 3.623, 3.478, 4.335, 4.948, 6.028 \ /* 2 */ 2.618, 3.532, 3.164, 4.194, 4.428, 5.816 \ /* 3 */ 2.460, 3.460, 2.947, 4.088, 4.093, 5.532 \ /* 4 */ 2.331, 3.417, 2.804, 4.013, 3.900, 5.419 \ /* 5 */ 2.254, 3.388, 2.685, 3.960, 3.713, 5.326 \ /* 6 */ 2.196, 3.370, 2.597, 3.907, 3.599, 5.230) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.810, 6.810, 8.640, 8.640, 13.290, 13.290 \ /* 0 */ 4.225, 5.050, 5.290, 6.175, 7.870, 8.960 \ /* 1 */ 3.393, 4.410, 4.183, 5.333, 6.140, 7.607 \ /* 2 */ 2.958, 4.100, 3.615, 4.913, 5.198, 6.845 \ /* 3 */ 2.696, 3.898, 3.276, 4.630, 4.590, 6.368 \ /* 4 */ 2.508, 3.763, 3.037, 4.443, 4.257, 6.040 \ /* 5 */ 2.387, 3.671, 2.864, 4.324, 4.016, 5.797 \ /* 6 */ 2.300, 3.606, 2.753, 4.209, 3.841, 5.686) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.690, 5.690, 6.900, 6.900, 9.975, 9.975 \ /* 0 */ 4.380, 4.867, 5.233, 5.777, 7.477, 8.213 \ /* 1 */ 3.698, 4.420, 4.433, 5.245, 6.328, 7.408 \ /* 2 */ 3.290, 4.176, 3.936, 4.918, 5.654, 6.926 \ /* 3 */ 3.035, 3.997, 3.578, 4.668, 5.147, 6.617 \ /* 4 */ 2.831, 3.879, 3.353, 4.500, 4.849, 6.511 \ /* 5 */ 2.685, 3.785, 3.174, 4.383, 4.629, 5.698 \ /* 6 */ 2.578, 3.710, 3.057, 4.319, 4.489, 5.064) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.240, 10.240, 12.580, 12.580, 18.020, 18.020 \ /* 0 */ 5.950, 6.680, 7.210, 8.055, 10.365, 11.295 \ /* 1 */ 4.517, 5.480, 5.457, 6.570, 7.643, 9.063 \ /* 2 */ 3.800, 4.888, 4.568, 5.795, 6.380, 7.730 \ /* 3 */ 3.374, 4.512, 4.036, 5.304, 5.604, 7.172 \ /* 4 */ 3.087, 4.277, 3.673, 5.002, 5.095, 6.770 \ /* 5 */ 2.879, 4.114, 3.426, 4.790, 4.704, 6.537 \ /* 6 */ 2.729, 3.985, 3.251, 4.640, 4.459, 6.206) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 40 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.955, 3.955, 4.960, 4.960, 7.220, 7.220 \ /* 0 */ 3.210, 3.730, 3.937, 4.523, 5.593, 6.333 \ /* 1 */ 2.835, 3.585, 3.435, 4.260, 4.770, 5.855 \ /* 2 */ 2.592, 3.454, 3.100, 4.088, 4.310, 5.544 \ /* 3 */ 2.427, 3.395, 2.893, 4.000, 3.967, 5.455 \ /* 4 */ 2.306, 3.353, 2.734, 3.920, 3.657, 5.256 \ /* 5 */ 2.218, 3.314, 2.618, 3.863, 3.505, 5.121 \ /* 6 */ 2.152, 3.296, 2.523, 3.829, 3.402, 5.031) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.760, 6.760, 8.570, 8.570, 13.070, 13.070 \ /* 0 */ 4.235, 5.000, 5.260, 6.160, 7.625, 8.825 \ /* 1 */ 3.373, 4.377, 4.133, 5.260, 5.893, 7.337 \ /* 2 */ 2.933, 4.020, 3.548, 4.803, 5.018, 6.610 \ /* 3 */ 2.660, 3.838, 3.202, 4.544, 4.428, 6.250 \ /* 4 */ 2.483, 3.708, 2.962, 4.338, 4.045, 5.898 \ /* 5 */ 2.353, 3.599, 2.797, 4.211, 3.800, 5.643 \ /* 6 */ 2.260, 3.534, 2.676, 4.130, 3.644, 5.464) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.680, 5.680, 6.870, 6.870, 9.575, 9.575 \ /* 0 */ 4.343, 4.823, 5.180, 5.733, 7.207, 7.860 \ /* 1 */ 3.663, 4.378, 4.360, 5.138, 5.980, 6.973 \ /* 2 */ 3.264, 4.094, 3.850, 4.782, 5.258, 6.526 \ /* 3 */ 2.985, 3.918, 3.512, 4.587, 4.763, 6.200 \ /* 4 */ 2.781, 3.813, 3.257, 4.431, 4.427, 5.837 \ /* 5 */ 2.634, 3.719, 3.070, 4.309, 4.154, 5.699 \ /* 6 */ 2.517, 3.650, 2.933, 4.224, 3.971, 5.486) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.160, 10.160, 12.510, 12.510, 17.910, 17.910 \ /* 0 */ 5.915, 6.630, 7.135, 7.980, 10.150, 11.230 \ /* 1 */ 4.477, 5.420, 5.387, 6.437, 7.527, 8.803 \ /* 2 */ 3.760, 4.795, 4.510, 5.643, 6.238, 7.740 \ /* 3 */ 3.334, 4.438, 3.958, 5.226, 5.376, 7.092 \ /* 4 */ 3.032, 4.213, 3.577, 4.923, 4.885, 6.550 \ /* 5 */ 2.831, 4.040, 3.327, 4.700, 4.527, 6.263 \ /* 6 */ 2.668, 3.920, 3.121, 4.564, 4.310, 5.965) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 45 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.950, 3.950, 4.895, 4.895, 7.265, 7.265 \ /* 0 */ 3.190, 3.730, 3.877, 4.460, 5.607, 6.193 \ /* 1 */ 2.788, 3.540, 3.368, 4.203, 4.800, 5.725 \ /* 2 */ 2.560, 3.428, 3.078, 4.022, 4.270, 5.412 \ /* 3 */ 2.402, 3.345, 2.850, 3.905, 3.892, 5.173 \ /* 4 */ 2.276, 3.297, 2.694, 3.829, 3.674, 5.019 \ /* 5 */ 2.188, 3.254, 2.591, 3.766, 3.540, 4.931 \ /* 6 */ 2.131, 3.223, 2.504, 3.723, 3.383, 4.832) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.760, 6.760, 8.590, 8.590, 12.930, 12.930 \ /* 0 */ 4.225, 5.020, 5.235, 6.135, 7.740, 8.650 \ /* 1 */ 3.330, 4.347, 4.083, 5.207, 5.920, 7.197 \ /* 2 */ 2.893, 3.983, 3.535, 4.733, 4.983, 6.423 \ /* 3 */ 2.638, 3.772, 3.178, 4.450, 4.394, 5.914 \ /* 4 */ 2.458, 3.647, 2.922, 4.268, 4.030, 5.598 \ /* 5 */ 2.327, 3.541, 2.764, 4.123, 3.790, 5.411 \ /* 6 */ 2.238, 3.461, 2.643, 4.004, 3.595, 5.225) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.625, 5.625, 6.750, 6.750, 9.555, 9.555 \ /* 0 */ 4.300, 4.780, 5.130, 5.680, 7.133, 7.820 \ /* 1 */ 3.625, 4.330, 4.335, 5.078, 5.878, 6.870 \ /* 2 */ 3.226, 4.054, 3.822, 4.714, 5.150, 6.280 \ /* 3 */ 2.950, 3.862, 3.470, 4.470, 4.628, 5.865 \ /* 4 */ 2.750, 3.739, 3.211, 4.309, 4.251, 5.596 \ /* 5 */ 2.606, 3.644, 3.025, 4.198, 3.998, 5.463 \ /* 6 */ 2.484, 3.570, 2.899, 4.087, 3.829, 5.313) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.150, 10.150, 12.400, 12.400, 17.500, 17.500 \ /* 0 */ 5.880, 6.640, 7.080, 7.910, 9.890, 10.965 \ /* 1 */ 4.437, 5.377, 5.360, 6.373, 7.317, 8.720 \ /* 2 */ 3.740, 4.780, 4.450, 5.560, 6.053, 7.458 \ /* 3 */ 3.298, 4.378, 3.890, 5.104, 5.224, 6.696 \ /* 4 */ 3.012, 4.147, 3.532, 4.800, 4.715, 6.293 \ /* 5 */ 2.796, 3.970, 3.267, 4.584, 4.364, 6.006 \ /* 6 */ 2.635, 3.838, 3.091, 4.413, 4.109, 5.785) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 50 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.935, 3.935, 4.815, 4.815, 7.065, 7.065 \ /* 0 */ 3.177, 3.653, 3.860, 4.440, 5.503, 6.240 \ /* 1 */ 2.788, 3.513, 3.368, 4.178, 4.695, 5.758 \ /* 2 */ 2.538, 3.398, 3.048, 4.002, 4.188, 5.328 \ /* 3 */ 2.372, 3.320, 2.823, 3.872, 3.845, 5.150 \ /* 4 */ 2.259, 3.264, 2.670, 3.781, 3.593, 4.981 \ /* 5 */ 2.170, 3.220, 2.550, 3.708, 3.424, 4.880 \ /* 6 */ 2.099, 3.181, 2.457, 3.650, 3.282, 4.730) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.740, 6.740, 8.510, 8.510, 12.730, 12.730 \ /* 0 */ 4.190, 4.940, 5.220, 6.070, 7.560, 8.685 \ /* 1 */ 3.333, 4.313, 4.070, 5.190, 5.817, 7.303 \ /* 2 */ 2.873, 3.973, 3.500, 4.700, 4.865, 6.360 \ /* 3 */ 2.614, 3.746, 3.136, 4.416, 4.306, 5.874 \ /* 4 */ 2.435, 3.600, 2.900, 4.218, 3.955, 5.583 \ /* 5 */ 2.309, 3.507, 2.726, 4.057, 3.656, 5.331 \ /* 6 */ 2.205, 3.421, 2.593, 3.941, 3.498, 5.149) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.570, 5.570, 6.685, 6.685, 9.320, 9.320 \ /* 0 */ 4.230, 4.740, 5.043, 5.607, 7.017, 7.727 \ /* 1 */ 3.573, 4.288, 4.225, 5.030, 5.805, 6.790 \ /* 2 */ 3.174, 4.004, 3.730, 4.666, 5.050, 6.182 \ /* 3 */ 2.905, 3.822, 3.383, 4.432, 4.557, 5.793 \ /* 4 */ 2.703, 3.697, 3.149, 4.293, 4.214, 5.520 \ /* 5 */ 2.550, 3.609, 2.975, 4.143, 3.983, 5.345 \ /* 6 */ 2.440, 3.523, 2.832, 4.012, 3.762, 5.172) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.020, 10.020, 12.170, 12.170, 17.530, 17.530 \ /* 0 */ 5.780, 6.540, 6.985, 7.860, 9.895, 10.965 \ /* 1 */ 4.380, 5.350, 5.247, 6.303, 7.337, 8.643 \ /* 2 */ 3.673, 4.715, 4.368, 5.545, 5.995, 7.335 \ /* 3 */ 3.240, 4.350, 3.834, 5.064, 5.184, 6.684 \ /* 4 */ 2.950, 4.110, 3.480, 4.782, 4.672, 6.232 \ /* 5 */ 2.750, 3.944, 3.229, 4.536, 4.310, 5.881 \ /* 6 */ 2.590, 3.789, 3.039, 4.339, 4.055, 5.640) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 55 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.900, 3.900, 4.795, 4.795, 6.965, 6.965 \ /* 0 */ 3.143, 3.670, 3.790, 4.393, 5.377, 6.047 \ /* 1 */ 2.748, 3.495, 3.303, 4.100, 4.610, 5.563 \ /* 2 */ 2.508, 3.356, 2.982, 3.942, 4.118, 5.200 \ /* 3 */ 2.345, 3.280, 2.763, 3.813, 3.738, 4.947 \ /* 4 */ 2.226, 3.241, 2.617, 3.743, 3.543, 4.839 \ /* 5 */ 2.139, 3.204, 2.490, 3.658, 3.330, 4.708 \ /* 6 */ 2.069, 3.148, 2.414, 3.608, 3.194, 4.562) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.700, 6.700, 8.390, 8.390, 12.700, 12.700 \ /* 0 */ 4.155, 4.925, 5.125, 6.045, 7.435, 8.460 \ /* 1 */ 3.280, 4.273, 3.987, 5.090, 5.707, 6.977 \ /* 2 */ 2.843, 3.920, 3.408, 4.623, 4.828, 6.195 \ /* 3 */ 2.578, 3.710, 3.068, 4.334, 4.244, 5.726 \ /* 4 */ 2.393, 3.583, 2.848, 4.160, 3.928, 5.408 \ /* 5 */ 2.270, 3.486, 2.676, 3.999, 3.636, 5.169 \ /* 6 */ 2.181, 3.398, 2.556, 3.904, 3.424, 4.989 ) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.570, 5.570, 6.660, 6.660, 9.300, 9.300 \ /* 0 */ 4.230, 4.730, 5.013, 5.547, 6.893, 7.537 \ /* 1 */ 3.553, 4.238, 4.183, 4.955, 5.678, 6.578 \ /* 2 */ 3.132, 3.956, 3.692, 4.582, 4.990, 6.018 \ /* 3 */ 2.868, 3.782, 3.358, 4.365, 4.455, 5.615 \ /* 4 */ 2.674, 3.659, 3.131, 4.206, 4.111, 5.329 \ /* 5 */ 2.538, 3.560, 2.946, 4.065, 3.870, 5.171 \ /* 6 */ 2.420, 3.481, 2.791, 3.950, 3.643, 5.021) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.110, 10.110, 12.170, 12.170, 17.480, 17.480 \ /* 0 */ 5.800, 6.515, 6.930, 7.785, 9.800, 10.675 \ /* 1 */ 4.370, 5.303, 5.190, 6.223, 7.227, 8.340 \ /* 2 */ 3.640, 4.670, 4.313, 5.425, 5.955, 7.225 \ /* 3 */ 3.210, 4.294, 3.794, 4.986, 5.108, 6.494 \ /* 4 */ 2.927, 4.068, 3.442, 4.690, 4.608, 5.977 \ /* 5 */ 2.724, 3.893, 3.197, 4.460, 4.230, 5.713 \ /* 6 */ 2.573, 3.760, 2.989, 4.271, 3.955, 5.474) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 60 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.880, 3.880, 4.780, 4.780, 6.960, 6.960 \ /* 0 */ 3.127, 3.650, 3.803, 4.363, 5.383, 6.033 \ /* 1 */ 2.738, 3.465, 3.288, 4.070, 4.558, 5.590 \ /* 2 */ 2.496, 3.346, 2.962, 3.910, 4.068, 5.250 \ /* 3 */ 2.323, 3.273, 2.743, 3.792, 3.710, 4.965 \ /* 4 */ 2.204, 3.210, 2.589, 3.683, 3.451, 4.764 \ /* 5 */ 2.114, 3.153, 2.456, 3.598, 3.293, 4.615 \ /* 6 */ 2.044, 3.104, 2.373, 3.540, 3.129, 4.507) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.700, 6.700, 8.460, 8.460, 12.490, 12.490 \ /* 0 */ 4.145, 4.950, 5.125, 6.000, 7.400, 8.510 \ /* 1 */ 3.270, 4.260, 4.000, 5.057, 5.697, 6.987 \ /* 2 */ 2.838, 3.923, 3.415, 4.615, 4.748, 6.188 \ /* 3 */ 2.568, 3.712, 3.062, 4.314, 4.176, 5.676 \ /* 4 */ 2.385, 3.565, 2.817, 4.097, 3.783, 5.338 \ /* 5 */ 2.253, 3.436, 2.643, 3.939, 3.531, 5.081 \ /* 6 */ 2.155, 3.353, 2.513, 3.823, 3.346, 4.895) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.555, 5.555, 6.630, 6.630, 9.245, 9.245 \ /* 0 */ 4.203, 4.693, 4.980, 5.527, 6.780, 7.377 \ /* 1 */ 3.540, 4.235, 4.180, 4.938, 5.620, 6.503 \ /* 2 */ 3.130, 3.968, 3.684, 4.584, 4.928, 5.950 \ /* 3 */ 2.852, 3.773, 3.323, 4.333, 4.412, 5.545 \ /* 4 */ 2.653, 3.637, 3.086, 4.154, 4.013, 5.269 \ /* 5 */ 2.510, 3.519, 2.900, 3.999, 3.775, 5.086 \ /* 6 */ 2.392, 3.444, 2.756, 3.892, 3.584, 4.922) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.030, 10.030, 12.200, 12.200, 17.020, 17.020 \ /* 0 */ 5.765, 6.500, 6.905, 7.735, 9.585, 10.420 \ /* 1 */ 4.350, 5.283, 5.190, 6.200, 7.057, 8.243 \ /* 2 */ 3.645, 4.678, 4.298, 5.445, 5.835, 7.108 \ /* 3 */ 3.200, 4.310, 3.772, 4.956, 5.066, 6.394 \ /* 4 */ 2.912, 4.047, 3.407, 4.632, 4.505, 5.920 \ /* 5 */ 2.709, 3.856, 3.137, 4.393, 4.117, 5.597 \ /* 6 */ 2.551, 3.716, 2.956, 4.230, 3.870, 5.338) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 65 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.880, 3.880, 4.780, 4.780, 6.825, 6.825 \ /* 0 */ 3.143, 3.623, 3.787, 4.343, 5.350, 6.017 \ /* 1 */ 2.740, 3.455, 3.285, 4.070, 4.538, 5.475 \ /* 2 */ 2.492, 3.350, 2.976, 3.896, 4.056, 5.158 \ /* 3 */ 2.335, 3.252, 2.750, 3.755, 3.725, 4.940 \ /* 4 */ 2.209, 3.201, 2.596, 3.677, 3.430, 4.721 \ /* 5 */ 2.120, 3.145, 2.473, 3.583, 3.225, 4.571 \ /* 6 */ 2.043, 3.094, 2.373, 3.519, 3.092, 4.478) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.740, 6.740, 8.490, 8.490, 12.400, 12.400 \ /* 0 */ 4.175, 4.930, 5.130, 5.980, 7.320, 8.435 \ /* 1 */ 3.300, 4.250, 4.010, 5.080, 5.583, 6.853 \ /* 2 */ 2.843, 3.923, 3.435, 4.583, 4.690, 6.143 \ /* 3 */ 2.574, 3.682, 3.068, 4.274, 4.188, 5.694 \ /* 4 */ 2.397, 3.543, 2.835, 4.090, 3.783, 5.300 \ /* 5 */ 2.256, 3.430, 2.647, 3.921, 3.501, 5.051 \ /* 6 */ 2.156, 3.334, 2.525, 3.808, 3.310, 4.871) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.510, 5.510, 6.550, 6.550, 8.960, 8.960 \ /* 0 */ 4.187, 4.660, 4.950, 5.467, 6.707, 7.360 \ /* 1 */ 3.535, 4.208, 4.123, 4.903, 5.545, 6.453 \ /* 2 */ 3.122, 3.942, 3.626, 4.538, 4.848, 5.842 \ /* 3 */ 2.848, 3.743, 3.300, 4.280, 4.347, 5.552 \ /* 4 */ 2.647, 3.603, 3.063, 4.123, 4.020, 5.263 \ /* 5 */ 2.499, 3.490, 2.880, 3.978, 3.758, 5.040 \ /* 6 */ 2.379, 3.406, 2.730, 3.879, 3.557, 4.902) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (9.970, 9.970, 11.960, 11.960, 16.850, 16.850 \ /* 0 */ 5.755, 6.470, 6.890, 7.660, 9.475, 10.515 \ /* 1 */ 4.353, 5.257, 5.137, 6.173, 7.013, 8.230 \ /* 2 */ 3.638, 4.643, 4.268, 5.415, 5.795, 7.053 \ /* 3 */ 3.196, 4.262, 3.732, 4.920, 4.974, 6.378 \ /* 4 */ 2.897, 4.022, 3.372, 4.613, 4.482, 5.923 \ /* 5 */ 2.690, 3.830, 3.137, 4.363, 4.111, 5.586 \ /* 6 */ 2.531, 3.685, 2.924, 4.206, 3.835, 5.339) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 70 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.875, 3.875, 4.750, 4.750, 6.740, 6.740 \ /* 0 */ 3.120, 3.623, 3.780, 4.327, 5.157, 5.957 \ /* 1 */ 2.730, 3.445, 3.243, 4.043, 4.398, 5.463 \ /* 2 */ 2.482, 3.310, 2.924, 3.860, 3.916, 5.088 \ /* 3 */ 2.320, 3.232, 2.725, 3.718, 3.608, 4.860 \ /* 4 */ 2.193, 3.161, 2.564, 3.650, 3.373, 4.717 \ /* 5 */ 2.100, 3.121, 2.451, 3.559, 3.180, 4.596 \ /* 6 */ 2.024, 3.079, 2.351, 3.498, 3.034, 4.426) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.670, 6.670, 8.370, 8.370, 12.240, 12.240 \ /* 0 */ 4.125, 4.880, 5.055, 5.915, 7.170, 8.405 \ /* 1 */ 3.250, 4.237, 3.947, 5.020, 5.487, 6.880 \ /* 2 */ 2.818, 3.880, 3.370, 4.545, 4.635, 6.055 \ /* 3 */ 2.552, 3.648, 3.022, 4.256, 4.098, 5.570 \ /* 4 */ 2.363, 3.510, 2.788, 4.073, 3.747, 5.285 \ /* 5 */ 2.233, 3.407, 2.629, 3.906, 3.436, 5.044 \ /* 6 */ 2.138, 3.325, 2.494, 3.786, 3.261, 4.821) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.530, 5.530, 6.530, 6.530, 8.890, 8.890 \ /* 0 */ 4.173, 4.647, 4.930, 5.457, 6.577, 7.313 \ /* 1 */ 3.505, 4.198, 4.100, 4.900, 5.448, 6.435 \ /* 2 */ 3.098, 3.920, 3.600, 4.512, 4.760, 5.798 \ /* 3 */ 2.832, 3.738, 3.272, 4.272, 4.293, 5.460 \ /* 4 */ 2.631, 3.589, 3.043, 4.100, 3.966, 5.234 \ /* 5 */ 2.485, 3.473, 2.860, 3.951, 3.720, 5.004 \ /* 6 */ 2.363, 3.394, 2.711, 3.842, 3.509, 4.808 ) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.020, 10.020, 12.000, 12.000, 16.660, 16.660 \ /* 0 */ 5.765, 6.455, 6.860, 7.645, 9.370, 10.320 \ /* 1 */ 4.330, 5.243, 5.110, 6.190, 6.873, 8.163 \ /* 2 */ 3.615, 4.635, 4.235, 5.363, 5.663, 6.953 \ /* 3 */ 3.182, 4.258, 3.720, 4.904, 4.922, 6.328 \ /* 4 */ 2.893, 4.008, 3.368, 4.590, 4.428, 5.898 \ /* 5 */ 2.683, 3.807, 3.107, 4.343, 4.070, 5.534 \ /* 6 */ 2.519, 3.669, 2.913, 4.168, 3.774, 5.248) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 75 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided" loc fnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided" loc tnote2 "for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.895, 3.895, 4.760, 4.760, 6.915, 6.915 \ /* 0 */ 3.133, 3.597, 3.777, 4.320, 5.260, 5.957 \ /* 1 */ 2.725, 3.455, 3.253, 4.065, 4.458, 5.410 \ /* 2 */ 2.482, 3.334, 2.946, 3.862, 4.048, 5.092 \ /* 3 */ 2.313, 3.228, 2.725, 3.718, 3.687, 4.842 \ /* 4 */ 2.196, 3.166, 2.574, 3.641, 3.427, 4.620 \ /* 5 */ 2.103, 3.111, 2.449, 3.550, 3.219, 4.526 \ /* 6 */ 2.023, 3.068, 2.360, 3.478, 3.057, 4.413) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.720, 6.720, 8.420, 8.420, 12.540, 12.540 \ /* 0 */ 4.150, 4.885, 5.140, 5.920, 7.225, 8.300 \ /* 1 */ 3.277, 4.243, 3.983, 5.060, 5.513, 6.860 \ /* 2 */ 2.838, 3.898, 3.408, 4.550, 4.725, 6.080 \ /* 3 */ 2.558, 3.654, 3.042, 4.244, 4.168, 5.548 \ /* 4 */ 2.380, 3.515, 2.802, 4.065, 3.772, 5.213 \ /* 5 */ 2.244, 3.397, 2.637, 3.900, 3.496, 4.966 \ /* 6 */ 2.134, 3.313, 2.503, 3.768, 3.266, 4.801) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.530, 5.530, 6.580, 6.580, 8.905, 8.905 \ /* 0 */ 4.193, 4.647, 4.937, 5.443, 6.613, 7.253 \ /* 1 */ 3.505, 4.213, 4.120, 4.855, 5.505, 6.298 \ /* 2 */ 3.110, 3.900, 3.624, 4.488, 4.808, 5.786 \ /* 3 */ 2.832, 3.717, 3.298, 4.260, 4.300, 5.377 \ /* 4 */ 2.636, 3.579, 3.054, 4.079, 3.984, 5.153 \ /* 5 */ 2.486, 3.469, 2.874, 3.914, 3.728, 4.954 \ /* 6 */ 2.372, 3.370, 2.718, 3.807, 3.511, 4.789) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (10.030, 10.030, 12.080, 12.080, 16.610, 16.610 \ /* 0 */ 5.765, 6.470, 6.880, 7.675, 9.325, 10.325 \ /* 1 */ 4.323, 5.273, 5.140, 6.153, 6.930, 8.027 \ /* 2 */ 3.618, 4.630, 4.253, 5.333, 5.698, 6.970 \ /* 3 */ 3.182, 4.248, 3.724, 4.880, 4.932, 6.224 \ /* 4 */ 2.890, 3.993, 3.382, 4.567, 4.393, 5.788 \ /* 5 */ 2.681, 3.800, 3.111, 4.310, 4.060, 5.459 \ /* 6 */ 2.530, 3.648, 2.915, 4.143, 3.768, 5.229) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else if `obs' <= 80 { * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Small-sample critical values are not provided for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided for Case I. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.870, 3.870, 4.725, 4.725, 6.695, 6.695 \ /* 0 */ 3.113, 3.610, 3.740, 4.303, 5.157, 5.917 \ /* 1 */ 2.713, 3.453, 3.235, 4.053, 4.358, 5.393 \ /* 2 */ 2.474, 3.312, 2.920, 3.838, 3.908, 5.004 \ /* 3 */ 2.303, 3.220, 2.688, 3.698, 3.602, 4.787 \ /* 4 */ 2.303, 3.154, 2.550, 3.606, 3.351, 4.587 \ /* 5 */ 2.088, 3.103, 2.431, 3.518, 3.173, 4.485 \ /* 6 */ 2.017, 3.052, 2.336, 3.458, 3.021, 4.350) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.720, 6.720, 8.400, 8.400, 12.120, 12.120 \ /* 0 */ 4.135, 4.895, 5.060, 5.930, 7.095, 8.260 \ /* 1 */ 3.260, 4.247, 3.940, 5.043, 5.407, 6.783 \ /* 2 */ 2.823, 3.885, 3.363, 4.515, 4.568, 5.960 \ /* 3 */ 2.548, 3.644, 3.010, 4.216, 4.096, 5.512 \ /* 4 */ 2.355, 3.500, 2.787, 4.015, 3.725, 5.163 \ /* 5 */ 2.236, 3.381, 2.627, 3.864, 3.457, 4.943 \ /* 6 */ 2.129, 3.289, 2.476, 3.746, 3.233, 4.760) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided for Case III. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.870, 3.870, 4.725, 4.725, 6.695, 6.695 \ /* 0 */ 3.113, 3.610, 3.740, 4.303, 5.157, 5.917 \ /* 1 */ 2.713, 3.453, 3.235, 4.053, 4.358, 5.393 \ /* 2 */ 2.474, 3.312, 2.920, 3.838, 3.908, 5.004 \ /* 3 */ 2.303, 3.220, 2.688, 3.698, 3.602, 4.787 \ /* 4 */ 2.180, 3.154, 2.550, 3.606, 3.351, 4.587 \ /* 5 */ 2.088, 3.103, 2.431, 3.518, 3.173, 4.485 \ /* 6 */ 2.017, 3.052, 2.336, 3.458, 3.021, 4.350) // 7 if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (9.960, 9.960, 12.060, 12.060, 16.600, 16.600 \ /* 0 */ 5.725, 6.450, 6.820, 7.670, 9.170, 10.240 \ /* 1 */ 4.307, 5.223, 5.067, 6.103, 6.730, 8.053 \ /* 2 */ 3.588, 4.605, 4.203, 5.320, 5.620, 6.908 \ /* 3 */ 3.160, 4.230, 3.678, 4.840, 4.890, 6.164 \ /* 4 */ 2.867, 3.975, 3.335, 4.535, 4.375, 5.703 \ /* 5 */ 2.657, 3.776, 3.077, 4.284, 4.000, 5.397 \ /* 6 */ 2.504, 3.631, 2.885, 4.111, 3.728, 5.160) // 7 if "`tstat'" != "" { loc tnote "Small-sample critical values not provided for Case V. Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } else { // asymtotic * Case I: no intercept, no trend if `case' == 1 { * Doesn't exist! Use asym. crit values loc fnote = "Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.00, 3.00, 4.20, 4.20, 7.17, 7.17 \ /* 0 */ 2.44, 3.28, 3.15, 4.11, 4.81, 6.02 \ /* 1 */ 2.17, 3.19, 2.72, 3.83, 3.88, 5.30 \ /* 2 */ 2.01, 3.10, 2.45, 3.63, 3.42, 4.84 \ /* 3 */ 1.90, 3.01, 2.26, 3.48, 3.07, 4.44 \ /* 4 */ 1.81, 2.93, 2.14, 3.34, 2.82, 4.21 \ /* 5 */ 1.75, 2.87, 2.04, 3.24, 2.66, 4.05 \ /* 6 */ 1.70, 2.83, 1.97, 3.18, 2.54, 3.91 \ /* 7 */ 1.66, 2.79, 1.91, 3.11, 2.45, 3.79 \ /* 8 */ 1.63, 2.75, 1.86, 3.05, 2.34, 3.68 \ /* 9 */ 1.60, 2.72, 1.82, 2.99, 2.26, 3.60) // 10 if "`tstat'" != "" { loc tnote "Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-1.62, -1.62, -1.95, -1.95, -2.58, -2.58 \ /* 0 */ -1.62, -2.28, -1.95, -2.60, -2.58, -3.22 \ /* 1 */ -1.62, -2.68, -1.95, -3.02, -2.58, -3.66 \ /* 2 */ -1.62, -3.00, -1.95, -3.33, -2.58, -3.97 \ /* 3 */ -1.62, -3.26, -1.95, -3.60, -2.58, -4.23 \ /* 4 */ -1.62, -3.49, -1.95, -3.83, -2.58, -4.44 \ /* 5 */ -1.62, -3.70, -1.95, -4.04, -2.58, -4.67 \ /* 6 */ -1.62, -3.90, -1.95, -4.23, -2.58, -4.88 \ /* 7 */ -1.62, -4.09, -1.95, -4.43, -2.58, -5.07 \ /* 8 */ -1.62, -4.26, -1.95, -4.61, -2.58, -5.25 \ /* 9 */ -1.62, -4.42, -1.95, -4.76, -2.58, -5.44) // 10 } } * Case II: restricted intercept, no trend else if `case' == 2 { * 0.10 0.05 0.010 * I(0)I(1) I(0) I(1) I(0) I(1) mat `fmat' = (3.80, 3.80, 4.60, 4.60, 6.44, 6.44 \ /* 0 */ 3.02, 3.51, 3.62, 4.16, 4.94, 5.58 \ /* 1 */ 2.63, 3.35, 3.10, 3.87, 4.13, 5.00 \ /* 2 */ 2.37, 3.20, 2.79, 3.67, 3.65, 4.66 \ /* 3 */ 2.20, 3.09, 2.56, 3.49, 3.29, 4.37 \ /* 4 */ 2.08, 3.00, 2.39, 3.38, 3.06, 4.15 \ /* 5 */ 1.99, 2.94, 2.27, 3.28, 2.88, 3.99 \ /* 6 */ 1.92, 2.89, 2.17, 3.21, 2.73, 3.90 \ /* 7 */ 1.85, 2.85, 2.11, 3.15, 2.62, 3.77 \ /* 8 */ 1.80, 2.80, 2.04, 3.08, 2.50, 3.68 \ /* 9 */ 1.76, 2.77, 1.98, 3.04, 2.41, 3.61) // 10 loc fnote = "Asymptotic critical values used." if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case II." } } * Case III: unrestricted intercept, no trend else if `case' == 3 { * 0.10 0.05 0.010 * I(0)I(1) I(0) I(1) I(0) I(1) mat `fmat' = (6.58, 6.58, 8.21, 8.21, 11.79, 11.79 \ /* 0 */ 4.04, 4.78, 4.94, 5.73, 6.84, 7.84 \ /* 1 */ 3.17, 4.14, 3.79, 4.85, 5.15, 6.36 \ /* 2 */ 2.72, 3.77, 3.23, 4.35, 4.29, 5.61 \ /* 3 */ 2.45, 3.52, 2.86, 4.01, 3.74, 5.06 \ /* 4 */ 2.26, 3.35, 2.62, 3.79, 3.41, 4.68 \ /* 5 */ 2.12, 3.23, 2.45, 3.61, 3.15, 4.43 \ /* 6 */ 2.03, 3.13, 2.32, 3.50, 2.96, 4.26 \ /* 7 */ 1.95, 3.06, 2.22, 3.39, 2.79, 4.10 \ /* 8 */ 1.88, 2.99, 2.14, 3.30, 2.65, 3.97 \ /* 9 */ 1.83, 2.94, 2.06, 3.24, 2.54, 3.86) // 10 loc fnote = "Asymptotic critical values used." if "`tstat'" != "" { loc tnote "Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-2.57, -2.57, -2.86, -2.86, -3.43, -3.43 \ /* 0 */ -2.57, -2.91, -2.86, -3.22, -3.43, -3.82 \ /* 1 */ -2.57, -3.21, -2.86, -3.53, -3.43, -4.10 \ /* 2 */ -2.57, -3.46, -2.86, -3.78, -3.43, -4.37 \ /* 3 */ -2.57, -3.66, -2.86, -3.99, -3.43, -4.60 \ /* 4 */ -2.57, -3.86, -2.86, -4.19, -3.43, -4.79 \ /* 5 */ -2.57, -4.04, -2.86, -4.38, -3.43, -4.99 \ /* 6 */ -2.57, -4.23, -2.86, -4.57, -3.43, -5.19 \ /* 7 */ -2.57, -4.40, -2.86, -4.72, -3.43, -5.37 \ /* 8 */ -2.57, -4.56, -2.86, -4.88, -3.42, -5.54 \ /* 9 */ -2.57, -4.69, -2.86, -5.03, -3.43, -5.68) // 10 } } * Case IV: unrestricted intercept, restricted trend else if `case' == 4 { * 0.10 0.05 0.010 * I(0)I(1) I(0) I(1) I(0) I(1) mat `fmat' = (5.37, 5.37, 6.29, 6.29, 8.26, 8.26 \ /* 0 */ 4.05, 4.49, 4.68, 5.15, 6.10, 6.73 \ /* 1 */ 3.38, 4.02, 3.88, 4.61, 4.99, 5.85 \ /* 2 */ 2.97, 3.74, 3.38, 4.23, 4.30, 5.23 \ /* 3 */ 2.68, 3.53, 3.05, 3.97, 3.81, 4.92 \ /* 4 */ 2.49, 3.38, 2.81, 3.76, 3.50, 4.63 \ /* 5 */ 2.33, 3.25, 2.63, 3.62, 3.27, 4.39 \ /* 6 */ 2.22, 3.17, 2.50, 3.50, 3.07, 4.23 \ /* 7 */ 2.13, 3.09, 2.38, 3.41, 2.93, 4.06 \ /* 8 */ 2.05, 3.02, 2.30, 3.33, 2.79, 3.93 \ /* 9 */ 1.98, 2.97, 2.21, 3.25, 2.68, 3.84) // 10 loc fnote = "Asymptotic critical values used." if "`tstat'" != "" { loc tnote "Critical values do not currently exist for Case IV." } } * Case V: unrestricted intercept, unrestricted trend else { // case == 5 * 0.10 0.05 0.010 * I(0)I(1) I(0) I(1) I(0) I(1) mat `fmat' = (9.81, 9.81, 11.64, 11.64, 15.73, 15.73 \ /* 0 */ 5.59, 6.26, 6.56, 7.30, 8.74, 9.63 \ /* 1 */ 4.19, 5.06, 4.87, 5.85, 6.34, 7.52 \ /* 2 */ 3.47, 4.45, 4.01, 5.07, 5.17, 6.36 \ /* 3 */ 3.03, 4.06, 3.47, 4.57, 4.40, 5.72 \ /* 4 */ 2.75, 3.79, 3.12, 4.25, 3.93, 5.23 \ /* 5 */ 2.53, 3.59, 2.87, 4.00, 3.60, 4.90 \ /* 6 */ 2.38, 3.45, 2.69, 3.83, 3.34, 4.63 \ /* 7 */ 2.26, 3.34, 2.55, 3.68, 3.15, 4.43 \ /* 8 */ 2.16, 3.24, 2.43, 3.56, 2.97, 4.24 \ /* 9 */ 2.07, 3.16, 2.33, 3.46, 2.84, 4.10) // 10 loc fnote = "Asymptotic critical values used." if "`tstat'" != "" { loc tnote "Asymptotic critical values used." * 0.10 0.05 0.010 * I(0) I(1) I(0) I(1) I(0) I(1) mat `tmat' = (-3.13, -3.13, -3.41, -3.41, -3.96, -3.97 \ /* 0 */ -3.13, -3.40, -3.41, -3.69, -3.96, -4.26 \ /* 1 */ -3.13, -3.63, -3.41, -3.95, -3.96, -4.53 \ /* 2 */ -3.13, -3.84, -3.41, -4.16, -3.96, -4.73 \ /* 3 */ -3.13, -4.04, -3.41, -4.36, -3.96, -4.96 \ /* 4 */ -3.13, -4.21, -3.41, -4.52, -3.96, -5.13 \ /* 5 */ -3.13, -4.37, -3.41, -4.69, -3.96, -5.31 \ /* 6 */ -3.13, -4.53, -3.41, -4.85, -3.96, -5.49 \ /* 7 */ -3.13, -4.68, -3.41, -5.01, -3.96, -5.65 \ /* 8 */ -3.13, -4.82, -3.41, -5.15, -3.96, -5.79 \ /* 9 */ -3.13, -4.96, -3.41, -5.29, -3.96, -5.94) // 10 } } } * ------------------------------------------------------------------------------ * Grabbing crit values from fmat/tmat above * Narayan only provides values for k <= 7. If 7 < k, I'm using k = 7 but noting it. * For asym. If k > 10, I'm using k = 10 and noting it. if `obs' <= 80 { // max rows k=7 if `k' < 7 { loc k2 = `k' + 1 // b/c of 0'th row loc f_10_0 = `fmat'[`k2',1] loc f_10_1 = `fmat'[`k2',2] loc f_05_0 = `fmat'[`k2',3] loc f_05_1 = `fmat'[`k2',4] loc f_01_0 = `fmat'[`k2',5] loc f_01_1 = `fmat'[`k2',6] } else { loc f_10_0 = `fmat'[8,1] loc f_10_1 = `fmat'[8,2] loc f_05_0 = `fmat'[8,3] loc f_05_1 = `fmat'[8,4] loc f_01_0 = `fmat'[8,5] loc f_01_1 = `fmat'[8,6] if `k' > 7 { loc fnote = "`fnote' Small-sample critical values only available up to k = 7." } } } else { // asym max rows k=10 if `k' < 10 { loc k2 = `k' + 1 // b/c of 0'th row loc f_10_0 = `fmat'[`k2',1] loc f_10_1 = `fmat'[`k2',2] loc f_05_0 = `fmat'[`k2',3] loc f_05_1 = `fmat'[`k2',4] loc f_01_0 = `fmat'[`k2',5] loc f_01_1 = `fmat'[`k2',6] } else { loc f_10_0 = `fmat'[11,1] loc f_10_1 = `fmat'[11,2] loc f_05_0 = `fmat'[11,3] loc f_05_1 = `fmat'[11,4] loc f_01_0 = `fmat'[11,5] loc f_01_1 = `fmat'[11,6] if `k' > 10 { loc fnote = "`fnote' Asymptotic critical values only available up to k = 10." } } } di di in smcl in gr "PESARAN, SHIN AND SMITH (2001) COINTEGRATION TEST" di in smcl in gr "Obs:" in y " `obs'" di in smcl in gr "No. Regressors (k):" in y " `k'" di in smcl in gr "Case:" in y " `case'" di in smcl in gr "{hline 60}" di in smcl in gr _col(34) "F-test" di in smcl in gr "{hline 60}" di in smcl in gr _col(20)"<{hline 5} I(0) {hline 10} I(1) {hline 5}>" di in smcl in gr "10% critical value" in y _col(21) %10.3f `f_10_0' _col(37) %10.3f `f_10_1' di in smcl in gr "5% critical value " in y _col(21) %10.3f `f_05_0' _col(37) %10.3f `f_05_1' di in smcl in gr "1% critical value " in y _col(21) %10.3f `f_01_0' _col(37) %10.3f `f_01_1' di di in smcl in gr "F-stat. =" in y %10.3f `fstat' if "`tstat'" != "" { if "`case'" == "2" | "`case'" == "4" { } else { di in smcl in gr "{hline 60}" di in smcl in gr _col(34) "t-test" di in smcl in gr "{hline 60}" if `k' < 10 { loc k2 = `k' + 1 // b/c of 0'th row loc t_10_0 = `tmat'[`k2',1] loc t_10_1 = `tmat'[`k2',2] loc t_05_0 = `tmat'[`k2',3] loc t_05_1 = `tmat'[`k2',4] loc t_01_0 = `tmat'[`k2',5] loc t_01_1 = `tmat'[`k2',6] } else { loc t_10_0 = `tmat'[11,1] loc t_10_1 = `tmat'[11,2] loc t_05_0 = `tmat'[11,3] loc t_05_1 = `tmat'[11,4] loc t_01_0 = `tmat'[11,5] loc t_01_1 = `tmat'[11,6] loc tnote = "`tnote' Asymptotic critical values only available up to k = 10." } di in smcl in gr _col(20)"<{hline 5} I(0) {hline 10} I(1) {hline 5}>" di in smcl in gr "10% critical value" in y _col(21) %10.3f `t_10_0' _col(37) %10.3f `t_10_1' di in smcl in gr "5% critical value " in y _col(21) %10.3f `t_05_0' _col(37) %10.3f `t_05_1' di in smcl in gr "1% critical value " in y _col(21) %10.3f `t_01_0' _col(37) %10.3f `t_01_1' di di in smcl in gr "t-stat. =" in y %10.3f `tstat' } } di in smcl in gr "{hline 60}" di in smcl in gr "F-statistic note: `fnote'" di in smcl in gr "`fnote2'" if "`tstat'" != "" { di in smcl in gr "t-statistic note: `tnote'" di in smcl in gr "`tnote2'" } end /*----------- What Table should look like ------- PESARAN, SHIN AND SMITH (2001) COINTEGRATION TEST Obs: 91 No. Regressors (k): 1 Case: 1 ------------------------------------------------------------ F-test ------------------------------------------------------------ <----- I(0) ---------- I(1) -----> 10% critical value 3.000 3.000 5% critical value 4.200 4.200 1% critical value 7.170 7.170 F-stat. = 3.830 ------------------------------------------------------------ t-test ------------------------------------------------------------ <----- I(0) ---------- I(1) -----> 10% critical value -1.620 -1.620 5% critical value -1.950 -1.950 1% critical value -2.580 -2.580 t-stat. = -2.730 ------------------------------------------------------------ Asymptotic critical values used. t-stat note: Asymptotic critical values used. */