MultipleBubbles v0.1.0

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Test and Detection of Explosive Behaviors for Time Series

Provides the Augmented Dickey-Fuller test and its variations to check the existence of bubbles (explosive behavior) for time series, based on the article by Peter C. B. Phillips, Shuping Shi and Jun Yu (2015a) <doi:10.1111/iere.12131>. Some functions may take a while depending on the size of the data used, or the number of Monte Carlo replications applied.

Functions in MultipleBubbles

Name Description
bsadf Critical values for backward SADF statistic sequence.
gsadf Critical values for generalized sup ADF statistic sequence.
sadf Critical values for sup ADF statistic sequence.
sadf_gsadf Sup ADF and generalized sup ADF statistics for a time series.
DGP Random walk.
badf Backward Augmented Dickey-Fuller Sequence.
ADF_FL Augmented Dickey-Fuller Statistic
ADF_IC Augmented Dickey-Fuller Statistic by AIC or BIC
sp_data S&P 500 data.
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Details

Date 2018-01-25
License GPL (>= 2)
LazyData TRUE
RoxygenNote 6.0.1
NeedsCompilation no
Packaged 2018-01-28 10:07:23 UTC; Pedro
Repository CRAN
Date/Publication 2018-01-29 12:13:59 UTC

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