CV_SADF: Critical values for the sup ADF (SADF) statistic.
In deanfantazzini/bubble: Tests for financial bubbles and explosive behavior

Description Usage Arguments Details Value Examples

This function computes the critical values for the sup ADF statistic by Phillips et al. (2015)

1	CV_SADF(qe, m, T, r0, address, clust_number)

`qe`	is a q x 1 vector of quantiles
`m`	is the number of replications for the simulated DGP
`T`	is the number of simulated time steps
`r0`	is the minimum window size fraction
`address`	is a character object containing the address where the plot density of SADF test stat will be saved in png format
`clust_number`	is the number of clusters for parallel computation

This function computes the critical values for the sup ADF statistic by Phillips et al. (2015) and saves the plot density of SADF test statistic as a png file in a specified address

quantile_sadf a q x 1 vector of simulated critical values for the sup ADF statistic

 ## Not run: 
 # Replicate finite sample critical values in Table 1 for SADF by PSY(2015)
 qe <-c(0.90,0.95,0.99)
 address <- "D:/bubbletest/"
 m <- 1000           # number of replications
 table1_sadf <- matrix(0,5,length(qe))

 table1_sadf[1,] <- CV_SADF(qe,m,100,0.190,address,clust_number=8)
 table1_sadf[2,] <- CV_SADF(qe,m,200,0.137,address,clust_number=8)
 table1_sadf[3,] <- CV_SADF(qe,m,400,0.100,address,clust_number=8)
 table1_sadf[4,] <- CV_SADF(qe,m,800,0.074,address,clust_number=8)
 table1_sadf[5,] <- CV_SADF(qe,m,1600,0.055,address,clust_number=8)

 write.table( table1_sadf,paste0(address, "table1_sadf.csv"), row.names = F, col.names =F)
   
## End(Not run)