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MultipleBubbles (version 0.1.0)

Test and Detection of Explosive Behaviors for Time Series

Description

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) . Some functions may take a while depending on the size of the data used, or the number of Monte Carlo replications applied.

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Version

Install

install.packages('MultipleBubbles')

Monthly Downloads

242

Version

0.1.0

License

GPL (>= 2)

Maintainer

Pedro Araujo

Last Published

January 29th, 2018

Functions in MultipleBubbles (0.1.0)

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.