rtadf: Estimate the ADF/SADF/GSADF test statistic

In icaspi99/rtadfr: Testing for Bubbles with R

Description

Calculates recursive and non-recursive right-tailed unit root tests statistics.

Usage

rtadf(y, r0, test = c("adf", "sadf", "gsadf"), type = c("none", "drift",
  "trend"), lags = 1, selectlags = c("Fixed", "AIC", "BIC"))

Arguments

y	Vector to be tested for an explosive root.
r0	Minimal Window size.
test	Test type, either "adf", "sadf" of "gsadf".
type	Deterministic terms, either, either "none", "drift" or "trend".
lags	Number of lags for y to be included.
selectlags	Lag selection can be achieved according to the Akaike "AIC" or the Bayes "BIC" information criteria. The maximum number of lags considered is set by lags. The default is to use a "fixed" lag length set by lags.

Value

List with test statistic, date-stamping sequence

References

Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, International Economic Review, 201(1), 201–226.

Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034–1078.

Examples

## Not run: 
t  <- 100
y  <- rnorm(t)
r0 <- round(t*(0.01+1.8/sqrt(t))) # minimal window size
rtadf(y, r0, test ="sadf")

## End(Not run)

icaspi99/rtadfr documentation built on Oct. 20, 2019, 8:40 p.m.