ADF_FL {MultipleBubbles} | R Documentation |
Calculate the Augmented Dickey-Fuller Statistic with a fixed lag order .
ADF_FL(y, adflag = 0, mflag = 1)
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. |
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.
y <- rnorm(10)
ADF_FL(y, adflag = 1, mflag = 2)