Rtadf: Testing for bubbles with EViews

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. the 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. rejection of the null in each of these tests may serve as empirical evidence for an asset price bubble. 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 2015). it calculates the test statistics for each of the above four tests,simulates the corresponding exact finite sample critical values and p values via monte carlo methods,under the assumption of gaussian innovations,and produces a graphical display of the date stamping procedure. © 2017,american statistical association. all rights reserved.