DGP: Data generating process for simulations: random walk with...
In deanfantazzini/bubble: Tests for financial bubbles and explosive behavior

This function simulates a random walk with drift 1/n, which is used when computing the tests for bubbles by Phillips et al. (2015)

1	DGP(n, niter)

`n`	is the number of simulated time steps
`niter`	is the number of replications for the simulated DGP

This function simulates a n x 1 vector following a a random walk with drift 1/n, and this operation is repeated niter times

y a n x niter matrix of simulated data, where each colum represents a single simulated process

deanfantazzini/bubble documentation built on Oct. 22, 2020, 2:43 p.m.

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