Markov regime-switching adf test - possible on excel?

polly95

New Member
Joined
Jul 15, 2021
Messages
3
Office Version
  1. 365
Platform
  1. Windows
  2. MacOS
Hello

I am wondering if anyone might know if it is possible to run a markov regime-switching adf test through excel. I am currently trying to find if there is a speculative bubble present in my time series data for a specific index. I have both weekly and monthly data returns for the index and it is over a 5 year period.

If anyone knew if this test was possible to run and would be able to help me that would be great help. I can only see how to do it on R but unfortunately I do not know how to use R.

Any answers would be much appreciated.
 

Excel Facts

VLOOKUP to Left?
Use =VLOOKUP(A2,CHOOSE({1,2},$Z$1:$Z$99,$Y$1:$Y$99),2,False) to lookup Y values to left of Z values.

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