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.