psy_ds use the rules-of- thumb proposed by
Phillips et al. (2015) to compute the minimum window size and the
minimum duration of an episode of exuberance, respectively.
1 2 3
A positive integer. The sample size.
Rule to compute the minimum duration of an episode (default: rule = 1, where T denotes the sample size). Rule 1 corresponds to log(T), while rule 2 to log(T)/T.
Frequency-dependent parameter (default; delta = 1). See details.
For the minimum duration period,
psy_ds allows the user to choose from two rules:
rule_1 = d*log(n) & rule 2 = d*log(n)/n
delta depends on the frequency of the data and the minimal duration condition.
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.
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