ADF_FL {MultipleBubbles}

Augmented Dickey-Fuller Statistic

Description

Calculate the Augmented Dickey-Fuller Statistic with a fixed lag order .

Usage

ADF_FL(y, adflag = 0, mflag = 1)

Arguments

y

the time series to be used.

adflag

is the lag order.

mflag

1 for ADF with constant and whithout trend, 2 for ADF with constant and trend and 3 for ADF without constant and trend.

References

Phillips, P.C. & Shi, S. & Yu, J. (2015a). "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500". SSRN Electronic Journal.

Examples

y <- rnorm(10)
ADF_FL(y, adflag = 1, mflag = 2)