ADF_IC: Augmented Dickey-Fuller Statistic by AIC or BIC
Description
Calculate the Augmented Dickey-Fuller Statistic with lag order selected by AIC or BIC.
Usage
ADF_IC(y, adflag, mflag, IC)
Arguments
y
the time series to be used.
adflag
the maximum 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.
IC
1 for AIC and 2 for BIC.
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.