rtadfr (right-tail augmented Dickey-Fuller with R), an R package that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. The detection strategy is based on a right-tail variation of the standard augmented Dickey-Fuller (ADF) test where the alternative hypothesis is of a mildly explosive process. Rejection of the null in each of these tests may serve as empirical evidence for an asset price bubble. The package implements three types of tests: standard ADF, supremum ADF (SADF; Phillips, Wu, and Yu 2011) and generalized SADF (GSADF; Phillips, Shi, and Yu 2015). The package provides critical and p values based on either super-fast surface function approximations or on Monte Carlo simulations.
|Maintainer||Itamar Caspi <[email protected]>|
|Package repository||View on GitHub|
Install the latest version of this package by entering the following in R:
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.