MultipleBubbles: Test and Detection of Explosive Behaviors for Time Series

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: 0.1.0
Imports: MASS (≥ 7.3), foreach (≥ 1.4.3), stats
Published: 2018-01-29
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

Downloads:

Reference manual: MultipleBubbles.pdf
Package source: MultipleBubbles_0.1.0.tar.gz
Windows binaries: r-prerel: MultipleBubbles_0.1.0.zip, r-release: MultipleBubbles_0.1.0.zip, r-oldrel: MultipleBubbles_0.1.0.zip
OS X binaries: r-prerel: MultipleBubbles_0.1.0.tgz, r-release: MultipleBubbles_0.1.0.tgz

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