rtadf

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jzjzcn
Posts: 1
Joined: Wed Aug 05, 2015 3:33 pm

Re: rtadf

Postby jzjzcn » Wed Aug 05, 2015 3:54 pm

Hi Itamar, I am facing a "BETA_PC not defined" error. I used the RTADF 1.4 version, I used the click PROC method to run the gsadf test. Could you please give me some solutions to it? My email address is:jzjzcn@gmail.com

abev
Posts: 1
Joined: Wed Aug 19, 2015 7:45 am

Re: rtadf

Postby abev » Wed Aug 19, 2015 7:51 am

Hello.

Unfortunately I am having exactly the same problem with version 1.4. After running the GSADF test is says 'BETA_PC' not defined and it doesn't produce the gsadf_cv series. Unfortunately I am quickly running out of time to submit my dissertation so I would appreciate any help!

Many thanks!

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Mon Aug 24, 2015 8:21 am

Hi

Send me your email in private and I'll send you an updated (beta) version of the add-in that should work. Let me know if it doesn't.

Best,
Itamar

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Wed Aug 26, 2015 12:58 am

A new version of the Rtadf add-in has been upladed to the EViews Add-ins repository (http://www.eviews.com/Addins/addins.shtml#addins).

The main improvement added to the current version is the option to simulate critical values for the SADF and GSADF tests in parallel mode via the use (in the background) of MATLAB and the Parallel Computation Toolbox. This new feature significantly decreases running time, especially for the GSADF test.

A few notes:

1. The add-in includes an updated user guide.
2. This version is still in beta stages, so it might include some unresolved bugs. If you do get the chance to experiment with it a little, I'll be more than happy if you'll send me some feedback (That annoying "BETA_PC bug" is hopfully fixed).
3. In order to use parallel simulation option, you must have MATLAB + Parallel Computation Toolbox installed on your machine.


Best,
Itamar

kateryna
Posts: 1
Joined: Sat Apr 16, 2016 7:04 am

Re: rtadf

Postby kateryna » Sat Apr 16, 2016 7:11 am

Hi Itamar,

I am trying to perform the GSADF test using the add-in. There is no gsadf_cv series in my output even thought I ticked "simulate critical values" box. Could you please, advise how to solve this?

Thank you,

Kateryna

bm26
Posts: 2
Joined: Thu Apr 21, 2016 8:47 am

Re: rtadf

Postby bm26 » Thu Apr 21, 2016 8:56 am

Dear Itamar,

first of all I want to thank you for this great Add-in! I would like to ask you If it is possible to conduct a backward GSADF test with this Add-in?

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Thu Apr 21, 2016 11:26 am

Dear bm26,

Thanks! Unfortunately, what you ask for is not possible in the current version. However, If I understand you correctly, I think you can get a backward GSADF test if you somehow "rotate" you series such that the last observation becomes the first and then run the test, no?

bm26
Posts: 2
Joined: Thu Apr 21, 2016 8:47 am

Re: rtadf

Postby bm26 » Thu Apr 21, 2016 1:55 pm

Dear Itamar,

if I understand correctly, the "windows" of your test are moving from the left to the right of the considered time series. Phillips,Shi and Yu suggest in a later version of their paper that a rolling window from the right to the left might be better. I think that a "turnaround" of my time series is technically a possibe way, but I fear that I cannot present the output, because the time series is then of course incorrect.

Vasileios.Geo
Posts: 1
Joined: Thu Jul 14, 2016 4:12 pm

Re: rtadf

Postby Vasileios.Geo » Thu Jul 14, 2016 4:19 pm

Hey guys i just ran my model today using the add-in.. and i was wondering how exactly can we do see the date-stamping, i am a bit new to this.
Thank you in advance.

Vasileios

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Sat Aug 06, 2016 10:57 pm

Hi,

In short, a bubble period is a period when the ADF sequence is larger than the ADF critical value sequence. For example, if you run the sadf test, your workfile will include two new series - "sadf" and sadf_cv". You can generate a bubble period dummy indicator by running something like

Code: Select all

bubdum=@recode(sadf>sadf_cv,1,0)



Note that there is an issue of a minimal threshold for a bubble period. See Phillips et al. (2016).

aglonger
Posts: 1
Joined: Mon Sep 19, 2016 3:49 am

Re: rtadf

Postby aglonger » Mon Sep 19, 2016 4:45 am

Dear Itamar,
Thanks for a great add-in! Without your work I wouldn't be able to write my MSc thesis so smoothly. Being a basic E-views user I rested solely on the visual interface you created (i.e. I wasn't using command line at all) and enjoyed it much. However, I have found some miscrepancies you may like to correct in the next updates together with a new functionality I would love to see. Please treat these comments as a feedback from a grateful user who wants to help future generations. :)

1. [fix] When choosing lag lenght selection criteria the interface allows to choose one of a few of criteria but the output table always shows a wrong criterion - the add-in prints "minus 1" (in terms of the occurence order) criterion. I have found a self-made tweak for this proble - in the add-in code: if !criterion = 2 should be changed to 3, if !criterion = 3 should be changed to 4 etc. However, there might be a better fix I'm not aware of.

2. [fix] There is a number of typos in the add-in. Correcting them will surely enhance the user experience and make the add-in more straightforward in usage. To name a few:
'and requiers the Parallel Computing Toolbox' -> 'and requires the Parallel Computing Toolbox';
Foward ADF sequence (left axis) -> Forward ADF sequence (left axis);
Bacwards SADF sequence (left axis) -> Backwards SADF sequence (left axis).

3. [new function] In my thesis I have used many same lenght series (with very similar characteristics) to test the bubble existence hypothesis with SADF & GSADF tests. As a basic E-views user I needed to run the test together with the simulation over and over again even though I knew that the results of the simulation are the same. Running the SADF test simulation a number of times was managable timewise, but in the case of GSADF test the simulation was so sluggish I had to come up with a slight modification/tweak of the add-in code just to print the graphs I needed and omit the time consuming simulation. If it's not complicated to implement, I would greatly appreciate a small check-box in your add-in which will allow to print the results of the test using critical values obtained from the previous simulation (i.e. "obtain critical values from the previous simulation").

Hope this will help develop the add-in!

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Wed Nov 09, 2016 3:45 am

Hi,

FYI, a new version of the Rtadf add-in has been uploaded to the EViews add-in repository. The main improvement being added is the option to simulate critical values for the SADF and GSADF tests based on wild and sieve bootstrap (as in as in Harvey et al. (2016) and Gutierrez (2011)).

A few notes:

1. All the suggestions made by aglonger (in the above post) are implemented, including the option to conduct statistical inference based on a previously run simulation. (BTW, I would like to thank aglonger for his wonderful suggestions. Your post was the reason I finally sat down and worked on this update!)

2. The add-in includes a draft of an updated and detailed user guide.

3. This version is still in beta stages, so it might include some unresolved bugs.

4. The bootstrap simulation is currently only available in EViews. Soon (hopefully), I will add the option to use MATLAB + Parallel Computation Toolbox (as in the Monte Carlo based simulation).

I'll be more than happy to receive any feedback, comments or suggestions you may have.

Best,
Itamar


References

Gutierrez, L. (2011). Bootstrapping asset price bubbles. Economic Modelling, 28(6), 2488–2493.

Harvey, D. I., Leybourne, S. J., Sollis, R., & Taylor, A. M. R. (2016). Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance, 38, 548–574.

francescao
Posts: 1
Joined: Fri Dec 02, 2016 5:19 pm

Re: rtadf

Postby francescao » Fri Dec 02, 2016 7:58 pm

Hi Itamar,

First of all, thank you for the add-in! It saved my thesis on housing bubbles.

I have some questions according to PSY GSADF Method in the add-in and the critical value.

1, I am confused about the test 4 gsadf. Are you saying that the gsadf here is the sup bsadf test PSY(2012) used in the paper?

2, I set aic as lag length, 0 lag, monte carlo eviews, 1000 replication, beta 0.95, d=1, eta=1. After I run the test, he graph shows me 0 for the 95%CV for every test I run. However, in the table the t-statistic does for 95% CV is not 0. Is my set up wrong? Or do I need to draw the CV line by myself?

Thank you!

Itamar
Posts: 23
Joined: Wed Mar 12, 2014 12:31 pm

Re: rtadf

Postby Itamar » Mon Dec 12, 2016 1:24 pm

Hi francescao,

Thanks!

As for your questions:

1. The GSADF is the sup of the BSADF used in Phillips, Shi and Yu (2015, IER)
2. The CV in the table is for the sup test, whereas the red line is the CV for the dates-tamping procedure. You can checkout PSY (2015) or the add-ins' user guide for elaborated explanations.

Good luck :)

jchomicki
Posts: 1
Joined: Mon May 15, 2017 8:53 pm

Re: rtadf

Postby jchomicki » Fri May 19, 2017 11:00 am

Hi Itamar!

I've recently been trying to use the rtadf Add-in, but i couldn't succesfuly finish the estimation of the GSADF (PSY 2015) test.

Everything goes well until the critical values are being estimated (Monte Carlo Matlab option selected). This is the error message i get every time: "TSTAT_MAX_MAX is not defined"

Could you give me further guidance on how to solve it?

Thank you,

Julian
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