Rtadf: Testing for Bubbles with EViews. 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.
Keywords for this software
References in zbMATH (referenced in 2 articles , 1 standard article )
Showing results 1 to 2 of 2.
- Hu, Yang; Oxley, Les: Do 18th century `bubbles’ survive the scrutiny of 21st century time series econometrics? (2018)
- Itamar Caspi: Rtadf: Testing for Bubbles with EViews (2017) not zbMATH