setpar_dating_alg: Sets the paramters of the dating algorithm

In bbdetection: Identification of Bull and Bear States of the Market

Description

This function sets the paramters of the dating algorithm of Bry and Boschan (1971)

Usage

setpar_dating_alg(t_window, t_censor, t_phase, t_cycle, max_chng)

Arguments

t_window	the half-size of the rolling window to find minima and maxima
t_censor	the size of the left and right margin (for the cencoring operation)
t_phase	the minimum phase (bull or bear) length
t_cycle	the minimum full cycle length
max_chng	the change (in percentages) in the "index" that invalidates the minimum phase length rule

Value

None

Note

All parameters but "max_chng" are given in a number of observations. For example, if data are at the monthly frequency, "t_cycle=16" defines that the minimum cycle length should be 16 months.

References

Bry, G. and Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER.

Pagan, A. R. and Sossounov, K. A. (2003). A Simple Framework for Analysing Bull and Bear Markets. Journal of Applied Econometrics, 18 (1), 23-46.

Gonzalez, L., Powell, J. G., Shi, J., and Wilson, A. (2005). Two Centuries of Bull and Bear Market Cycles. International Review of Economics and Finance, 14 (4), 469-486.

bbdetection documentation built on April 1, 2021, 5:06 p.m.