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) . Some functions may take a while depending on the size of the data used, or the number of Monte Carlo replications applied.


Reference manual

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0.2.0 by Pedro Araujo, 7 months ago

Browse source code at https://github.com/cran/MultipleBubbles

Authors: Pedro Araujo <[email protected]> Gustavo Lacerda <[email protected]> Peter C.B. Phillips <[email protected]> Shu-Ping Shi <[email protected]>

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports MASS, foreach, stats

See at CRAN