Returns p-values based on a response surface function approximation

Source: R/rtadfPval.R

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

rtadfPval(t, testStat, testType)

Arguments

t

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

Test statistic
testType

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

Value

Numeric, p-value that corresponds to a user-specified test statistic.

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 Unpublished mimeo.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

pval <- rtadfPval(t = 100,  testStat = 1.5, testType = "sadf")