Quantile Unit Root Test for Bubble Detection (Global Test)

quantile_test implements the "global test" of Wu, Shi & Wu (2025): a quantile-regression (QR) analogue of the Dickey-Fuller t-ratio, testing for explosive behavior at a chosen conditional quantile tau of y_t on y_{t-1} rather than at the conditional mean. A single static test, not a recursive scan (compare radf's single-shot adf statistic, not its recursive bsadf).

Usage

quantile_test(
  data,
  tau = "optimal",
  tau_grid = seq(0.2, 0.8, by = 0.05),
  nrep = 1000L,
  level = 95,
  seed = NULL
)

Arguments

data: A univariate or multivariate numeric time series object, a numeric vector or matrix, or a data.frame. A column may have leading and/or trailing NA values (an uneven/unbalanced panel where series enter or exit the sample at different times) – those periods are filled with NA in badf/bsadf and excluded from that series' adf/sadf/ gsadf. Interior NA values (a gap in the middle of a series) are not supported. When any series is padded this way, the panel statistic (bsadf_panel/gsadf_panel) is not available and is returned as NA, with a warning.
tau: Quantile to test at, in (0, 1), or "optimal" (default) to select it via eq. 33's grid search.
tau_grid: Grid searched when tau = "optimal". Default seq(0.2, 0.8, by = 0.05), matching the paper's own recommended practical range (excluding the extreme quantiles 0.1/0.9).
nrep: Number of Monte Carlo replications for the critical value.
level: Significance level, one of 90, 95, 99.
seed: Optional seed for the Monte Carlo draws.

Value

An object of class quantile_test_obj: a list with the test statistic tstat, the selected tau, the estimated correlation delta, the simulated crit value, and detected (logical, tstat > crit).

Details

tau = "optimal" (the default) selects the quantile minimizing the asymptotic variance of the QR estimator (their eq. 33) by grid search over tau_grid, excluding the extreme quantiles the paper itself recommends avoiding at practical sample sizes.

The critical value is simulated per call (not a fixed table), and there is currently no reusable/exported cv counterpart for this function (a known, separately-tracked gap, not addressed here): the statistic's limiting null distribution is sqrt(1 - delta^2) * z + delta * Q, with z ~ N(0, 1) and delta a data-estimated correlation coefficient; Q is the standard demeaned Dickey-Fuller t-statistic distribution, simulated by the same random-walk-plus-OLS-t-stat construction used elsewhere in this package (see radf_mc_cv).

Status

References

Wu, R., Shi, S., & Wu, J. (2025). Quantile analysis for financial bubble detection and surveillance. Journal of Time Series Analysis, 46(5), 908-931.

Examples

# \donttest{
res <- quantile_test(sim_data$sim_psy1, nrep = 100, seed = 1)
#> Warning: Unknown or uninitialised column: `sim_psy1`.
#> Error: unsupported class
print(res)
#> Error: object 'res' not found
# }