psy_minw: Helper functions in accordance to PSY(2015)

In exuber: Econometric Analysis of Explosive Time Series

Helper functions in accordance to PSY(2015)

Description

psy_minw and 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.

Usage

psy_minw(n)

psy_ds(n, rule = 1, delta = 1)

Arguments

n	A positive integer. The sample size.
rule	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.
delta	Frequency-dependent parameter (default; delta = 1). See details.

Details

For the minimum duration period, psy_ds allows the user to choose from two rules:

rule_1 = \delta \log(n) \quad\& \quad rule_2 = \delta \log(n)/n

delta depends on the frequency of the data and the minimal duration condition.

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

psy_minw(100)
psy_ds(100)

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