Description Usage Arguments References Examples
In this program, we calculate critical value sequences for the backward ADF statistic sequence for a matrix generated from a standard Normal distribution.
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m |
Number of Monte Carlo replications. Must be bigger than 2. |
t |
Sample size. Must be bigger than 2. |
adflag |
Number of lags to be included in the ADF Test. Default equals 0. |
mflag |
1 for ADF with constant and whithout trend, 2 for ADF with constant and trend and 3 for ADF without constant and trend. |
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.
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