exuber (version 1.0.2)

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, min_duration = 0L, ...)
# S3 method for radf_obj
datestamp(
  object,
  cv = NULL,
  min_duration = 0L,
  sig_lvl = 95,
  option = c("gsadf", "sadf"),
  nonrejected = FALSE,
  ...
)

Value

Return a table with the following columns:

• Start:

• Peak:

• End:

• Duration:

• Signal:

• Ongoing:

Returns a list containing the estimated origination and termination dates of episodes of explosive behaviour and the corresponding duration.

Arguments

object

An object of class obj.

cv

An object of class cv.

min_duration

The minimum duration of an explosive period for it to be reported (default = 0).

...

further arguments passed to methods.

sig_lvl

logical. Significance level, one of 90, 95 or 99.

option

Whether to apply the "gsadf" or "sadf" methodology (default = "gsadf").

nonrejected

logical. Whether to apply datestamping technique to the series that were not able to reject the Null hypothesis.

Details

Datestamp also stores a vector whose elements take the value of 1 when there is a period of explosive behaviour and 0 otherwise. This output can serve as a dummy variable for the occurrence of exuberance.

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

rsim_data <- radf(sim_data)

ds_data <- datestamp(rsim_data)
ds_data

# Choose minimum window
datestamp(rsim_data, min_duration = psy_ds(nrow(sim_data)))

autoplot(ds_data)