In this program, we calculate critical value sequences for the backward ADF statistic
sequence for a matrix generated from a standard Normal distribution.
Usage
badf(m, t, adflag = 0, mflag = 1)
Arguments
m
Number of Monte Carlo replications. Must be bigger than 2.
t
Sample size. Must be bigger than 2.
adflag
Number of lags to be included in the ADF Test. Default equals 0.
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.