p-values for unit root and cointegration tests                   (STB-17: sts6)
----------------------------------------------

	^tauprob^ { ^c^ | ^ct^ | ^ctt^ } vars tau

calculates the approximate asymptotic p-value for a unit root (Dickey-Fuller 
or Phillips-Perron) or cointegration (Engle-Granger) test. The p-value is
stored in the macro S_1, but it is not displayed.

The first argument is one of the strings "c", "ct", or "ctt" (without
quotation marks).  This argument indicates whether the tau statistic comes
from a regression with a constant, constant and trend, or constant, trend,
and trend squared, respectively.  The second argument is the number of
variables in the cointegrating vector.  A "1" in this argument indicates a
unit root test.  The third, and final, argument is the tau-statistic obtained
from the Dickey-Fuller, Phillips-Perron, or Engle-Granger test.






Author
------
        Craig S. Hakkio
        Federal Reserve Bank of Kansas City
        FAX: 816-881-2199


Also see
--------

    STB:  sts6 (STB-17)
On-line:  ^help^ for ^tauprob^