Simulate critical values and date-stamping threshold sequence in parallel

Source: R/rtadfSimPar.R

Simulates in parallel critical values and date-stamping sequences for the right-tailed ADF, SADF and GSADF tests.

rtadfSimPar(t, r0, nrep = 1000, test = c("adf", "sadf", "gsadf"))

Arguments

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".

Value

List with 90, 95, 99 percent critical values and a threshold series for the date-stamping procedure

References

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

# NOT RUN {
cv <- rtadfSimPar(t = 100, r0 = 10, nrep = 100, test = "sadf")
# }