exuber (version 0.2.1)

radf: Recursive Augmented Dickey-Fuller Test

Description

radf returns the t-statistics from a recursive Augmented Dickey-Fuller test.

Usage

radf(data, minw, lag = 0)

Arguments

data

A univariate or multivariate numeric ts object, data.frame or matrix. The estimation process cannot handle NA values.

minw

A positive integer. The minimum window size, which defaults to \((0.01 + 1.8/\sqrt(T))*T\).

lag

A non-negative integer. The lag of the Augmented Dickey-Fuller regression.

Value

A list that contains the t-statistic (sequence) for:

adf

Augmented Dickey-Fuller

badf

Backward Augmented Dickey-Fuller

sadf

Supremum Augmented Dickey-Fuller

bsadf

Backward Supremum Augmented Dickey-Fuller

gsadf

Generalized Supremum Augmented Dickey-Fuller

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, 52(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), 1043-1078.

Examples

# NOT RUN {
# Simulate bubble processes
dta <- cbind(sim_dgp1(n = 100), sim_dgp2(n = 100))

rfd <- radf(dta)

# For lag = 1 and minimum window = 20
rfd <- radf(dta, minw = 20, lag = 1)
# }