ADF_IC {MultipleBubbles}

Augmented Dickey-Fuller Statistic by AIC or BIC

Description

Calculate the Augmented Dickey-Fuller Statistic with lag order selected by AIC or BIC.

Usage

ADF_IC(y, adflag, mflag, IC)

Arguments

y

the time series to be used.

adflag

the maximum 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.

IC

1 for AIC and 2 for BIC.

References

Phillips, P.C. & Shi, S. & Yu, J. (2013). "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500". SSRN Electronic Journal.

Examples

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