Returns critical values based on a response surface function approximation

Source: R/rtadfCval.R

rtadfCval approximate critical values for the SADF test (Phillips,Wu and Yu, 2011) using the MacKinnon (1996) response surface function approach (Caspi, 2018).

rtadfCval(t, pval, testType)

Arguments

t

Number of observations (i.e., length of the sample)
pval

Significance level (in percent)
testType

Test type, either "adf", "sadf" of "gsadf".

Value

Numeric, critical value at the user-specified significance level.

References

Caspi, I. (2018) Empirical Distribution Functions for Right-Tailed Unit Root tests for Exuberance. Unpublished mimeo.

MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6):601–618.

Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, International Economic Review, 201(1), 201--226.

Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034--1078.

Examples

cv <- rtadfCval(t = 100,  pval = 0.95, testType = "sadf")