Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
[test by reto]
Authors: Itamar Caspi
Title: Rtadf: Testing for Bubbles with EViews
Abstract: This paper presents Rtadf (right-tail augmented Dickey-Fuller), an EViews add-in that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. The detection strategy is based on a right-tail variation of the standard augmented Dickey-Fuller (ADF) test where the alternative hypothesis is of a mildly explosive process. Rejection of the null in each of these tests may serve as empirical evidence for an asset price bubble. The add-in implements four types of tests: standard ADF, rolling window ADF, supremum ADF (SADF; Phillips, Wu, and Yu 2011) and generalized SADF (GSADF; Phillips, Shi, and Yu 2015). It calculates the test statistics for each of the above four tests, simulates the corresponding exact finite sample critical values and p values via Monte Carlo methods, under the assumption of Gaussian innovations, and produces a graphical display of the date stamping procedure.

Page views:: 4921. Submitted: 2013-12-02. Published: 2017-11-08.
Paper: Rtadf: Testing for Bubbles with EViews     Download PDF (Downloads: 5217)
rtadf.aipz: EViews source package Download (Downloads: 492; 445KB)
v81c01.prg: Replication code Download (Downloads: 414; 1KB)
v81c01.txt: Replication instructions for graphical user interface Download (Downloads: 374; 1KB)
snp_data.wf1: EViews workfile data Download (Downloads: 441; 36KB)

DOI: 10.18637/jss.v081.c01

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.