cvPSYmc: Simulate the finite sample critical values for the PSY test.

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

Simulate the finite sample critical values for the PSY test.

Description

cvPSYmc implements the real time bubble detection procedure of Phillips, Shi and Yu (2015a,b)

Usage

cvPSYmc(obs, swindow0, IC = 0, adflag = 0, nrep = 199,
  multiplicity = TRUE, Tb, useParallel = TRUE, nCores)

Arguments

obs	A positive integer. The number of observations.
swindow0	A positive integer. Minimum window size (default = T (0.01 + 1.8/\sqrt{T}), where T denotes the sample size)
IC	An integer. 0 for fixed lag order (default), 1 for AIC and 2 for BIC (default = 0).
adflag	An integer, lag order when IC=0; maximum number of lags when IC>0 (default = 0).
nrep	A positive integer. Number of replications (default = 199).
multiplicity	Logical. If multiplicity=TRUE, use family-wise size control in the recursive testing algorithms.
Tb	A positive integer. The simulated sample size (swindow0+ controlling). Ignored if multiplicity=FALSE.
useParallel	Logical. If useParallel=TRUE, use multi core computation.
nCores	A positive integer. Optional. If useParallel=TRUE, the number of cores defaults to all but one.

Value

A matrix. BSADF bootstrap critical value sequence at the 90, 95 and 99 percent level.

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.

Examples

cv <- cvPSYmc(80, IC = 0, adflag = 1, Tb = 30, nrep = 99, nCores = 1)

itamarcaspi/psymonitor documentation built on June 10, 2025, 2:51 a.m.