TY - JOUR
AU - Caspi, Itamar
PY - 2017/11/08
Y2 - 2023/06/07
TI - Rtadf: Testing for Bubbles with EViews
JF - Journal of Statistical Software, Code Snippets
JA - J. Stat. Soft.
VL - 81
IS - 1
SE - Code Snippets
DO - 10.18637/jss.v081.c01
UR - https://www.jstatsoft.org/index.php/jss/article/view/v081c01
SP - 1 - 16
AB - 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.
ER -