Rtadf: Testing for Bubbles with EViews

Caspi, Itamar (2013): Rtadf: Testing for Bubbles with EViews.

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

• Item Type: MPRA Paper
• Language: English
• Keywords: Rational bubble, ADF test, Sup ADF test, Generalized Sup ADF test, Mildly explosive process, EViews.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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