Description Usage Arguments Value References Examples
rtadfCval
approximate critical values for the SADF test (Phillips,Wu
and Yu, 2011) using the MacKinnon (1996) response surface function approach
(Caspi, 2018).
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t |
Number of observations (i.e., length of the sample) |
pval |
Significance level (in percent) |
testType |
Test type, either "adf", "sadf" of "gsadf". |
Numeric, critical value at the user-specified significance level.
Caspi, I. (2018) Empirical Distribution Functions for Right-Tailed Unit Root tests for Exuberance. Unpublished mimeo.
MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6):601–618.
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.
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