ADF_FL: Augmented Dickey-Fuller Statistic

In MultipleBubbles: Test and Detection of Explosive Behaviors for Time Series

Description

Calculate the Augmented Dickey-Fuller Statistic with a fixed lag order .

Usage

ADF_FL(y, adflag = 0, mflag = 1)

Arguments

y	the time series to be used.
adflag	is the lag order.
mflag	1 for ADF with constant and whithout trend, 2 for ADF with constant and trend and 3 for ADF without constant and trend.

References

Phillips, P.C. & Shi, S. & Yu, J. (2015a). "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500". SSRN Electronic Journal.

Examples

y <- rnorm(10)
ADF_FL(y, adflag = 1, mflag = 2)

Example output

$`Augmented Dickey-Fuller Statistic`
[1] -1.927254

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