gsadf: Critical values for generalized sup ADF statistic sequence.
Description
Calculate critical value sequences for the generalized sup ADF statistic sequence
using Monte Carlo simulations for a sample generated from a Normal distribution.
Usage
gsadf(m, t)
Arguments
m
Number of Monte Carlo Simulations. Default equals 2000. Must be bigger than 2.
t
Sample size. Default equals 100. Must be bigger than 2.
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.