Calculate the Augmented Dickey-Fuller Statistic with a fixed lag order .
Usage
ADF_FL(y, adflag = 0, mflag = 1)
Arguments
y
the time series to be used.
adflag
is the lag order.
mflag
1 for ADF with constant and whithout trend, 2 for ADF with constant and trend and 3 for ADF without constant and trend.
References
Phillips, P.C. & Shi, S. & Yu, J. (2015a). "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500". SSRN Electronic Journal.