Residual-Augmented Dickey-Fuller (RADF)

[victor]

Hi All,

Need some help for RADF. Anybody has code for RADF (Taylor and Peel -1998) or knows how to change ADF code to RADF?

Thanks

[TomDoan]

I assume you mean Taylor, Mark P. & Peel, David A., 1998. "Periodically collapsing stock price bubbles: a robust test," Economics Letters, vol. 61, no 2, 221-228. (There's a Peel and Taylor 1998 and several Taylor and Peel WP's from 1998 --- PLEASE post full citations).

I'm not sure I understand why they use the rather ugly calculation in (12) and (13) for the covariance matrix for the parameters of interest. The asymptotics from running least squares on their (10) with Eicker-White standard errors should be the same. The test statistic will be the t-stat on the lagged u.

radf.rpf

Program file

(524 Bytes) Downloaded 900 times

shillerdata.rat

Data file (current Shiller data)

(139.25 KiB) Downloaded 860 times

[victor]

Thanks, Tom.