GSADF test results for the art market

The dataset contains data illustrating the results of detecting and data-stamping price explosivity periods in the art market, represented by 35 indices from Art Market Research. The files contain:•    01_diagnostics_gsadf – summary of results for analysed time series.•    02_st_value – obtained statistical test value for the GSADF procedure.•    03_st_cv – critical values from the Monte Carlo simulation with 2,000 repetitions.•    04_datestamp_gsadf_results (3 sheets) – characteristics for detected price explosivity periods.•    05_dummy_results_gsadf – base for co-explosivity analysis.•    06_DS – value for descriptive statistics, which were calculated based on the raw data.•    07_mydata.coeff, 08_mydata.p, 09_mydata.n – correlation analysis results, phi coefficient values, p-value and number of observations, respectively.
•    Corr.jpg – correlation heatmap.•    GSADF_Results.jpg – value for the GSADF test and critical values.•    GSADF_STAMPS.jpg – price bubbles periods on a timeline.
•    Subdirectory 'Logit' – Logistic regression results.
The primary source of information for the study is:•    Art Market Research.
The dataset doesn't contain raw data. All calculations were made using monthly data from the research period from June 1985 to June 2024. 
The cost for raw data (art market indices) was funded in whole by the Polish National Science Centre [registration number 2024/08/X/HS4/00044]. Title: Characteristics and co-occurrence of price bubbles on the art investment market and selected capital markets.