sadf: Critical values for sup ADF statistic sequence.

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

Description

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

Usage

sadf(m, 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.

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 <- sadf(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.