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.
Package details |
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Maintainer | Itamar Caspi <caspi.itamar@gmail.com> |
License | GPL-3 |
Version | 0.1.0.9100 |
URL | https://github.com/itamarcaspi/rtadfr |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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