ps_tb: Helper function to find 'tb' from the Phillips and Shi (2020)

In exuber: Econometric Analysis of Explosive Time Series

Helper function to find tb from the Phillips and Shi (2020)

Description

This function helps to find the number of observations in the window over which size is to be controlled.

Usage

ps_tb(n, freq = c("monthly", "quarterly", "annual", "weekly"), size = 2)

Arguments

n	A positive integer. The sample size.
freq	The type of date-interval.
size	The size to be controlled.

References

Phillips, P. C., & Shi, S. (2020). Real time monitoring of asset markets: Bubbles and crises. In Handbook of Statistics (Vol. 42, pp. 61-80). Elsevier.

Shi, S., Hurn, S., Phillips, P.C.B., 2018. Causal change detection in possibly integrated systems: Revisiting the money-income relationship.

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