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.
| Version: | 0.2.0 |
| Imports: | MASS (≥ 7.3), foreach (≥ 1.4.4), stats |
| Published: | 2018-07-30 |
| DOI: | 10.32614/CRAN.package.MultipleBubbles |
| Author: | Pedro Araujo Gustavo Lacerda Peter C.B. Phillips Shu-Ping Shi |
| Maintainer: | Pedro Araujo <pharaujo1094 at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| In views: | TimeSeries |
| CRAN checks: | MultipleBubbles results |
| Reference manual: | MultipleBubbles.pdf |
| Package source: | MultipleBubbles_0.2.0.tar.gz |
| Windows binaries: | r-devel: MultipleBubbles_0.2.0.zip, r-release: MultipleBubbles_0.2.0.zip, r-oldrel: MultipleBubbles_0.2.0.zip |
| macOS binaries: | r-release (arm64): MultipleBubbles_0.2.0.tgz, r-oldrel (arm64): MultipleBubbles_0.2.0.tgz, r-release (x86_64): MultipleBubbles_0.2.0.tgz, r-oldrel (x86_64): MultipleBubbles_0.2.0.tgz |
| Old sources: | MultipleBubbles archive |
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