bhargava_statistic: bhargava_statstic
In NicolasRoever/TestingForRationalBubbles: TestingRationalBubbles

Description Usage Arguments Author(s) References Examples

View source: R/Rpackagestatistics.R

This function calculates the Bhargava Statistic from Homm, Ulrich, and Jörg Breitung. "Testing for speculative bubbles in stock markets: a comparison of alternative methods." Journal of Financial Econometrics 10.1 (2012): 198-231.

1	bhargava_statistic(x, tau_0 = 0.2)

`x`	x is a vector or a time series object containing the relevant time series values.
`tau_0`	The test statistic is recursively calculated for subsamples of the time series. tau_0 gives the fraction for the smallest subsample to be considered. So if your sample is 100 and tau_0 is 0.2, the smalles subsample consists of 20 data points.

Nicolas Röver

Homm, Ulrich, and Jörg Breitung. "Testing for speculative bubbles in stock markets: a comparison of alternative methods." Journal of Financial Econometrics 10.1 (2012): 198-231.

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (x)
{
  }