Compute the sdfc chow-type explosiveness test what break, Other Engineering

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Compute the sdfc chow-type explosiveness test what break

Problem

1. On a dollar bar series on E-mini S&P 500 futures,

(a) Apply the Brown-Durbin-Evans method. Does it recognize the dot-com bubble?

(b) Apply the Chu-Stinchcombe-White method. Does it find a bubble in 2007- 2008?

2. On a dollar bar series on E-mini S&P 500 futures,

(a) Compute the SDFC (Chow-type) explosiveness test. What break date does this method select? Is this what you expected?

(b) Compute and plot the SADF values for this series. Do you observe extreme spikes around the dot-com bubble and before the Great Recession? Did the bursts also cause spikes?

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