MultipleBubbles: Test and Detection of Explosive Behaviors for Time Series

Provides the Augmented Dickey-Fuller test and its variations to check the existence of bubbles (explosive behavior) for time series, based on the article by Peter C. B. Phillips, Shuping Shi and Jun Yu (2015a) <doi:10.1111/iere.12131>. Some functions may take a while depending on the size of the data used, or the number of Monte Carlo replications applied.

Getting started

Package details

AuthorPedro Araujo <[email protected]> Gustavo Lacerda <[email protected]> Peter C.B. Phillips <[email protected]> Shu-Ping Shi <[email protected]>
MaintainerPedro Araujo <[email protected]>
LicenseGPL (>= 2)
Version0.2.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("MultipleBubbles")

Try the MultipleBubbles package in your browser

Any scripts or data that you put into this service are public.

MultipleBubbles documentation built on May 2, 2019, 12:34 p.m.