locate: Locate bubble/crisis periods

In psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Description

locate locate bubble/crisis periods with non-zero bubble indicator

Usage

locate(index, dates)

Arguments

index	A vector. A dummy variable that equals 1 for a bubble/crisis period and 0 otherwise.
dates	A vector. Dates of the time series.

Value

A vector. Dates identified as bubbles or crisis.

References

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.

psymonitor documentation built on May 2, 2019, 1:33 p.m.