datestamp: Date-stamping periods of mildly explosive behavior

In exuber: Econometric Analysis of Explosive Time Series

Date-stamping periods of mildly explosive behavior

Description

Computes the origination, termination and duration of episodes during which the time series display explosive dynamics.

Usage

datestamp(object, cv = NULL, min_duration = 0L, ...)

## S3 method for class 'radf_obj'
datestamp(
  object,
  cv = NULL,
  min_duration = 0L,
  sig_lvl = 95,
  option = c("gsadf", "sadf"),
  nonrejected = FALSE,
  ...
)

Arguments

object	An object of class obj.
cv	An object of class cv.
min_duration	The minimum duration of an explosive period for it to be reported (default = 0).
...	further arguments passed to methods.
sig_lvl	logical. Significance level, one of 90, 95 or 99.
option	Whether to apply the "gsadf" or "sadf" methodology (default = "gsadf").
nonrejected	logical. Whether to apply datestamping technique to the series that were not able to reject the Null hypothesis.

Details

Datestamp also stores a vector whose elements take the value of 1 when there is a period of explosive behaviour and 0 otherwise. This output can serve as a dummy variable for the occurrence of exuberance.

Value

Return a table with the following columns:

• Start:

• Peak:

• End:

• Duration:

• Signal:

• Ongoing:

Returns a list containing the estimated origination and termination dates of episodes of explosive behaviour and the corresponding duration.

References

Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.

Examples

rsim_data <- radf(sim_data)

ds_data <- datestamp(rsim_data)
ds_data

# Choose minimum window
datestamp(rsim_data, min_duration = psy_ds(nrow(sim_data)))

autoplot(ds_data)

exuber documentation built on March 31, 2023, 9:51 p.m.