Right-Tail Augmented Dickey-Fuller Tests in EViews

A few days ago, I received an email from Itamar Caspi, a regular follower of this blog. Itamar has developed a really nice EViews "Add-In" package that facilitates the application of "Right-Tail Augmented Dickey-Fuller" tests.

His Add-in package, named rtadf, covers four tests:

1. ADF.
2. Rolling ADF.
3. sup ADF (SADF). See Phillips et al. (2011).
4. Generalized SADF (GSADF), see Phillips et al. (2013).

As Itamar explains, the tests are "....designed to detect the presence of an unobserved bubble component in an observed asset price and to date-stamp its occurrence".

In EViews parlance, "Add-In" packages are "..... EViews programs that, when installed, look and feel like built-in EViews procedures. Packages may generally be run from the EViews object and Add-ins menu, or via commands. Once installed, add-in packages should require no user-modification.

(If you use R, then the concept is essentially  the same as with R packages.)

The various Add-In packages that are available for EViews (versions 7.1 and above) can be seen here.

If you're an EViews user, you probably use Add-Ins already. If you haven't tried any of them yet, here's what you do if you're using EViews 8. (EViews 7 users have to download Add-ins manually from the Add-in webpage: http://www.eviews.com/Addins/addins.shtml).

1. Launch EViews (of course!) 
2. Select the Add-ins button on the top tool-bar, select Manage Add-ins from the drop-down menu, and you see something like this:

     3. These are the Add-ins that are currently available for you to integrate into your installed version of EViews.

     4.   Highlight the Add-in(s) you want, and click on the Install button. You'll then see: something like:

    5. Click "O.K." at all of the prompts, and then you're ready to go!

    6.  To access your Add-in, make the following selections on the main top tool-bar of the EViews window:

         File         Open       Programs in Add-ins Folder...

         

          and select the Add-in that you want to use; just as you would for any other program.

    7.  To see the documentation for an Add-in, just go back to Step 2. This time, click on the "Installed" tab            and highlight the Add-in of interest, and select the Docs button. For example, if you do this for the                rtadf  Add-in package, this is what you'll see:

If you're not an EViews user, you can still access Itamar's excellent description of his rsadf Add-in package, in this discussion paper.

Nice work, Itamar - I hope we see more contributions like this from you in the future!


References

Phillips, P., S. Shi, and J. Yu, 2013. Testing for Multiple Bubbles 1: Historical episodes of exuberance and collapse in the S&P 500.

Phillips, P., Y. Wu, Y., and J. Yu, 2011. Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 201, 201–226.

Phillips, P. C. B. and J. Yu, 2011. Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2, 455–491.

© 2013, David E. Giles