exuber (version 0.3.0)

datestamp: Date-stamping periods of mildly explosive behavior

Description

Computes the origination, termination and duration of episodes during which the time series display explosive dynamics.

Usage

datestamp(object, cv = NULL, option = c("gsadf", "sadf"),
  min_duration = 0)

Arguments

object

An object of class radf().

cv

An object of class "cv". The output of mc_cv(), wb_cv() or sb_cv()

option

Whether to apply the "gsadf" or "sadf" methodology. Default is "gsadf".

min_duration

The minimum duration of an explosive period for it to be reported. Default is 0.

Value

Returns a list of values for each explosive sub-period, giving the origin and termination dates as well as the number of periods explosive behavior lasts.

Details

Datestamp also stores a vector in 0,1 that corresponds to reject, accept respectively, for all series in the time period. This output can be used as a dummy that indicates the occurrence of a bubble.

Setting min_duration removes very short episode of exuberance. Phillips et al. (2015) propose two simple rules of thumb to remove short periods of explosive dynamics, "log(T)/T", where T is the number of observations.

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.