rtadfSim: Simulate critical values and date-stamping threshold sequence

In icaspi99/rtadfr: Testing for Bubbles with R

Description

Simulates critical values and date-stamping sequences for the right-tailed ADF, SADF and GSADF tests.

Usage

rtadfSim(t, r0, nrep = 1000, test = c("adf", "sadf", "gsadf"))

Arguments

t	Number of observations (i.e., length of the sample)
r0	Minimal window size
nrep	Number of replications
test	Test type, either "adf", "sadf" of "gsadf".

Value

List with 90, 95, 99 percent critical values and a threshold series for the date-stamping procedure

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: 
cv <- rtadfSim(t = 100, r0 = 10, nrep = 1000, test = "sadf")

## End(Not run)

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