sadf_gsadf {MultipleBubbles}

Sup ADF and generalized sup ADF statistics for a time series.

Description

Calculate the sup ADF and the generalized sup ADF statistics using the backward ADF statistic sequence and the backward SADF statistic sequence, respectively.

Usage

sadf_gsadf(y, adflag, mflag, IC, parallel = FALSE)

Arguments

y

the time series.

adflag

the lag order for the ADF test.

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.

parallel

If TRUE, uses parallel computing for the loop. If the data is large it could be faster, but usually it is slower for small data.

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.