Test and Detection of Explosive Behaviors for Time Series
Augmented Dickey-Fuller Statistic
Augmented Dickey-Fuller Statistic by AIC or BIC
Backward Augmented Dickey-Fuller Sequence.
Critical values for backward SADF statistic sequence.
Random walk.
Critical values for generalized sup ADF statistic sequence.
Critical values for sup ADF statistic sequence.
Sup ADF and generalized sup ADF statistics for a time series.
Provides the Augmented Dickey-Fuller test and its variations to check the existence of bubbles (explosive behavior) for time series, based on the article by Peter C. B. Phillips, Shuping Shi and Jun Yu (2015a) <doi:10.1111/iere.12131>. Some functions may take a while depending on the size of the data used, or the number of Monte Carlo replications applied.