Instructions for replicating the results shown in
"rtadf: Testing for Bubbles with EViews"
Section 5 - Illustration
Before proceeding we need to make sure that the EViews add-in "rtadf" is
installed. This can be done by double clicking the "rtadf.aipz" file (attached)
on a computer that has EViews 7.2 and above installed. Note that the source code
in rtadf.aipz can be accessed by unzipping the file.
Next,
1. Open EViews.
2. Open the attached workfile "snp_data.wf1".
3. Double-click the series "snp".
4. Press "Proc".
5. Go to Add-ins (last line).
6. Click on "Right Tailed ADF Tests".
7. Choose the following settings:
Series name: SNP
Sample: 1871M01 2010M12
Model: SADF (Sup ADF)
Initial window size: 36
Lag length: Fixed
Number of lags: 0
Simulate critical values: checked (v)
Plot Graphs: checked (v)
8. Press OK.
9. In the next dialog box (simulation) choose the following settings:
A. Choose test: SADF (Sup ADF)
B. Choose simulation specifications:
Sample size (T): 1680
Replications: 2000
Run-in observations:0
Initial window size: 36
C. Choose critical values sequence's significance level:
beta: 0.95
D. Choose parameters for the null model:
d=1
eta=1
theta=1
Use accurate sample size for the CV sequence: checked (v)
10. Press OK.
Following the above steps should result in Figure 10: "S&P 500 SADF output".
In addtion, the workfile will now contain two new series named "sadf" and
"sade_cv", where the former is the sequence of ADF statistic for the "snp"
series, and the latter is the sequence of corresponding 95% critical values.
Bubble periods are defined as date points where sadf > sadf_cv.