MultipleBubbles (version 0.1.0)

bsadf: Critical values for backward SADF statistic sequence.

Description

Calculate critical value sequences for the backward sup ADF statistic sequence using Monte Carlo simulations for a sample generated from a Normal distribution.

Usage

bsadf(m, t, adflag = 0, mflag = 1)

Arguments

m

Number of Monte Carlo Simulations

t

Sample size.

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.#' @keywords AugmentedDickey-FullerTest backwardSADF MonteCarlo.

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.

Examples

# NOT RUN {
foo <- bsadf(m = 20, t = 50, adflag = 1, mflag = 2)
plot(foo$quantiles[2,], type = 'l')
# }