Rtadf: Testing for Bubbles with EViews

Itamar Caspi

MPRA Paper from University Library of Munich, Germany

Abstract: 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. 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. 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 2013). Rejection of the null in each of these tests may serve as empirical evidence for an asset price bubble, and in the case of the SADF and GSADF tests, enables us, as a second step, to date-stamp its occurrence. The add-in calculates the relevant test statistics for each of the above four tests and simulates the corresponding exact finite sample critical values via Monte Carlo methods

Keywords: Rational bubble; ADF test; Sup ADF test; Generalized Sup ADF test; Mildly explosive process; EViews. (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 G12 (search for similar items in EconPapers)
Date: 2013-08-28, Revised 2014-09-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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https://mpra.ub.uni-muenchen.de/59045/3/MPRA_paper_59045.pdf revised version (application/pdf)

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