exuber (version 0.3.0)

psy_minw: Helper functions in accordance to PSY(2015)

Description

psy_minw proposes a minimum window and psy_ds proposes a rule of thumb to exclude periods of exuberance.

Usage

psy_minw(n)
psy_ds(n, rule = 1, delta = 1)

Arguments

n

A positive integer. The sample size.

rule

Rule 1 corresponds to log(T), while rule 2 log(T)/T

delta

Frequency-dependent parameter

Details

delta depends on the frequency of the data and the minimal duration condition. For example, for a 30-year period, we set arbitrarily duration to exceed periods such as one year. Then, delta should is 0.7 for yearly data and 5 for monthly data.

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.

Examples

# NOT RUN {
psy_minw(100)
psy_ds(100)
# }