gsadf: Critical values for generalized sup ADF statistic sequence.

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

Description

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

Usage

gsadf(m, t, adflag = 0, mflag = 1, swindow0 = floor(r0 * t))

Arguments

m	Number of Monte Carlo Simulations. Default equals 2000. Must be bigger than 2.
t	Sample size. Default equals 100. 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.
swindow0	Minimum window size.

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 <- gsadf(m = 20, t = 50)
quant <- rep(foo$quantiles[2], 100)
plot(quant, type = 'l')

Example output

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