ADFres: Estimate the ADF model under the null

In itamarcaspi/psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Estimate the ADF model under the null

Description

ADFres estimates the ADF model under the null with lag order selected by AIC or BIC

Usage

ADFres(y, IC, adflag)

Arguments

y	A Vector. Data.
IC	An integer, 0 for fixed lag order (default), 1 for AIC and 2 for BIC.
adflag	An integer. Lag order when IC=0; maximum number of lags when IC>0 (default = 0).

Value

Numeric, ADF test statistic.

References

Phillips, P. C. B., Shi, S., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034–1078. Phillips, P. C. B., Shi, S., & Yu, J. (2015b). Testing for multiple bubbles: Limit Theory for Real-Time Detectors. International Economic Review, 56(4), 1079–1134.

itamarcaspi/psymonitor documentation built on June 10, 2025, 2:51 a.m.