Codes
PSY strategy
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, 2015, 56 (4 ): 1043-1078 (with Peter C.B. Phillips and Jun Yu).
Matlab & Gauss codes, R Package & Eviews Addin (rtadf*)
Real Time Monitoring of Asset Markets: Bubbles and Crises, (with Peter C.B. Phillips), In Hrishikesh D. Vinod and C.R. Rao (Eds.), Handbook of Statistics, Volume 41 - Econometrics Using R.
Time-varying Granger causality test: Matlab Codes
Related articles:
Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, 2018, 39(6): 966-987 (with Peter C.B. Phillips and Stan Hurn)
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship (with Peter C.B. Phillips and Stan Hurn)
You might also be interested in the stata codes for the procedure available here.
Volatility Puzzle: Long Memory or Anti-persistence: Data and Matlab Program
Related article:
Volatility Puzzle, Management Science (with Jun Yu, this version 2022 Jan)