Computes the origination, termination and duration of episodes during which the time series display explosive dynamics.
datestamp(object, cv = NULL, option = c("gsadf", "sadf"),
min_duration = 0)An object of class radf().
Whether to apply the "gsadf" or "sadf" methodology. Default is "gsadf".
The minimum duration of an explosive period for it to be reported. Default is 0.
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.
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.
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.