Simulates critical values and date-stamping sequences for the right-tailed ADF, SADF and GSADF tests.
rtadfSim(t, r0, nrep = 1000, test = c("adf", "sadf", "gsadf"))
| t | Number of observations (i.e., length of the sample) |
|---|---|
| r0 | Minimal window size |
| nrep | Number of replications |
| test | Test type, either "adf", "sadf" of "gsadf". |
List with 90, 95, 99 percent critical values and a threshold series for the date-stamping procedure
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.
# NOT RUN { cv <- rtadfSim(t = 100, r0 = 10, nrep = 1000, test = "sadf") # }