bsadf: Critical values for backward SADF statistic sequence.

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

Description

Calculate critical value sequences for the backward sup ADF statistic sequence using Monte Carlo simulations for a sample generated from a Normal distribution.

Usage

bsadf(m, t, adflag = 0, mflag = 1)

Arguments

m	Number of Monte Carlo Simulations
t	Sample size.
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.#' @keywords AugmentedDickey-FullerTest backwardSADF MonteCarlo.

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

foo <- bsadf(m = 20, t = 50, adflag = 1, mflag = 2)
plot(foo$quantiles[2,], type = 'l')

Example output

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