IJohansenTestReport.FivePercentCriticalValue

Syntax

FivePercentCriticalValue: Double;

Description

The FivePercentCriticalValue property returns critical value when the significance level is 5%.

Example

Sub Main;

Var

Dl,Rl,D: Array[17] Of Double;

i,res: Integer;

d0,d1,d2,d3: Double;

Jtest: SmJohansenTest;

Eqs: IJohansenTestEquations;

Eq: IJohansenTestEquation;

ARO: Array[1] Of Integer;

Begin

//values Dl, Rl, D

Dl[00] := -9999.99; Rl[00] := -9999.99; D[00] := -9999.99;

Dl[01] := -0.011060947; Rl[01] := -9999.99; D[01] := -9999.99;

Dl[02] := 0.088021988; Rl[02] := -9999.99; D[02] := -9999.99;

Dl[03] := 0.001850139; Rl[03] := -9999.99; D[03] := -9999.99;

Dl[04] := -0.174221365; Rl[04] := 0.104287003; D[04] := -9999.99;

Dl[05] := 0.027131344; Rl[05] := 0.026467205; D[05] := -0.01;

Dl[06] := 0.054179916; Rl[06] := 0.047706589; D[06] := 0.25;

Dl[07] := 0.057158414; Rl[07] := 0.01704113; D[07] := 0.13;

Dl[08] := -0.092249734; Rl[08] := -0.105077669; D[08] := 0.02;

Dl[09] := -0.006322466; Rl[09] := -0.110288178; D[09] := -0.01;

Dl[10] := 0.027113235; Rl[10] := -0.011793876; D[10] := -0.06;

Dl[11] := 0.057958277; Rl[11] := 0.031454854; D[11] := 0.04;

Dl[12] := -0.048741622; Rl[12] := -0.032034153; D[12] := 0.05;

Dl[13] := -0.00306279; Rl[13] := -0.053657954; D[13] := -0.01;

Dl[14] := 0.03120535; Rl[14] := -0.025958191; D[14] := 0.015;

Dl[15] := 0.104368944; Rl[15] := 0.074380868; D[15] := 0.025;

Dl[16] := -0.135574294; Rl[16] := -0.064428893; D[16] := 0.02;

ARO[0] := 1;

Jtest := New SmJohansenTest.Create;

Eqs := Jtest.Equations;

Eq := Eqs.Add;

Eq.Serie.Value := Dl;

Eq.AutoRegressionOrder := ARO;

Eq := Eqs.Add;

Eq.Serie.Value := Rl;

Eq.AutoRegressionOrder := ARO;

Eq := Eqs.Add;

Eq.Serie.Value := D;

Eq.AutoRegressionOrder := ARO;

Jtest.ModelPeriod.FirstPoint := 1;

Jtest.ModelPeriod.LastPoint := 17;

Jtest.CointegralCount := 2;

Jtest.ModelType := ECMType.NoTrendNoIntercept;

res := Jtest.Execute;

If res <> 0 Then

Debug.WriteLine(Jtest.Errors);

Else

Debug.WriteLine(" Proper value LikelihoodRatio 5% critical value 1% critical value ");

For i := 0 To Jtest.Equations.Count-1 Do

Eq := Jtest.Equations.Item(i);

Debug.Write("Links " + i.ToString + ": ");

d0 := Eq.Report.EigenValue;

d1 := Eq.Report.LikelihoodRatio;

d2 := Eq.Report.OnePercentCriticalValue;

d3 := Eq.Report.FivePercentCriticalValue;

Debug.WriteLine(" " + d0.ToString + ", " + d1.ToString + ", " + d2.ToString +", " + d3.ToString );

End For;

End If;

End Sub Main;

After executing the example the console window displays results of test calculation:

Module execution started

Proper value LikelihoodRatio 5% critical value 1% critical value

Links 0: 0.85956792247321245, 10.939094974492027, 29.75, 24.309999999999999

Links 1: 0.58000526556742726, 23.951791547221262, 16.309999999999999, 12.529999999999999

Links 2: 0.51774053387159913, 53.397261663320116, 6.5099999999999998, 3.8399999999999999

Module execution finished