Description Usage Arguments Value References Examples
disp
generates a data frame with bubble/crisis
periods identified by the PSY procedure
1 | disp(OT, obs)
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OT |
A date vector. Bubbles/crisis periods identified by the
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obs |
A positive integer. The number of observations. |
A vector of strings with bubble/crisis periods.
Phillips, P. C. B., Shi, S., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034–1078.
Phillips, P. C. B., Shi, S., & Yu, J. (2015b). Testing for multiple bubbles: Limit Theory for Real-Time Detectors. International Economic Review, 56(4), 1079–1134.
* Phillips, P. C. B., & Shi, S.(forthcoming). Real time monitoring of asset markets: Bubbles and crisis. In Hrishikesh D. Vinod and C.R. Rao (Eds.), Handbook of Statistics Volume 41 - Econometrics Using R.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | data(spread)
y <- spread$value[150:200]
obs <- length(y)
swindow0 <- floor(obs*(0.01 + 1.8/sqrt(obs)))
dim <- obs - swindow0 + 1
Tb <- 24 + swindow0 - 1
# Estimate PSY statistics and CVs
bsadf <- PSY(y, swindow0)
quantilesBsadf <- cvPSYwmboot(y, swindow0, Tb=Tb, nboot = 49, nCores = 2)
quantile95 <- quantilesBsadf %*% matrix(1, nrow = 1, ncol = dim)
# locate bubble/crisis dates
ind95 <- (bsadf > t(quantile95[2, ])) * 1
monitorDates <- spread$date[swindow0:obs]
OT <- locate(ind95, monitorDates)
# Show bubble/crisis periods
disp(OT, obs)
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