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psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis
Apply the popular real-time monitoring strategy proposed by Phillips, Shi and Yu (2015a,b;PSY) <doi:10.1111/iere.12132>, <doi:10.1111/iere.12131>, along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control in recursive testing algorithms (Phillips and Shi, forthcoming).
Getting started
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Package details |
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| Author | Peter C.B. Phillips [aut], Shuping Shi [aut], Itamar Caspi [aut, cre] |
| Maintainer | Itamar Caspi <caspi.itamar@gmail.com> |
| License | GPL-3 |
| Version | 0.0.2 |
| URL | https://github.com/itamarcaspi/psymonitor |
| Package repository | View on CRAN |
| Installation |
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