ADFres: Estimate the ADF model under the null

In psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Description

ADFres estimates the ADF model under the null with lag order selected by AIC or BIC

Usage

ADFres(y, IC, adflag)

Arguments

y	A Vector. Data.
IC	An integer, 0 for fixed lag order (default), 1 for AIC and 2 for BIC.
adflag	An integer. Lag order when IC=0; maximum number of lags when IC>0 (default = 0).

Value

Numeric, ADF test statistic.

References

Phillips, P. C. B., Shi, S., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034–1078. Phillips, P. C. B., Shi, S., & Yu, J. (2015b). Testing for multiple bubbles: Limit Theory for Real-Time Detectors. International Economic Review, 56(4), 1079–1134.

psymonitor documentation built on May 2, 2019, 1:33 p.m.