ps_tb

This function helps to find the number of observations in the window
over which size is to be controlled.

Testing for and dating periods of explosive
dynamics (exuberance) in time series using the univariate and panel
recursive unit root tests proposed by Phillips et al. (2015)
<doi:10.1111/iere.12132> and Pavlidis et al. (2016)
<doi:10.1007/s11146-015-9531-2>.The recursive least-squares
algorithm utilizes the matrix inversion lemma to avoid matrix
inversion which results in significant speed improvements. Simulation
of a variety of periodically-collapsing bubble processes. Details can be
found in Vasilopoulos et al. (2022) <doi:10.18637/jss.v103.i10>.

Kostas Vasilopoulos

exuber

Econometric Analysis of Explosive Time Series

Efthymios Pavlidis

Enrique Martínez-García

Simon Spavound

ps_tb function

<dl><dt>n</dt>
<dd>A positive integer. The sample size.</dd>
<dt>freq</dt>
<dd>The type of date-interval.</dd>
<dt>size</dt>
<dd>The size to be controlled.</dd></dl>

Arguments

Helper function to find tb from the Phillips and Shi (2020) — ps_tb

<dl>

<dt>n</dt>
<dd>A positive integer. The sample size.</dd>


<dt>freq</dt>
<dd>The type of date-interval.</dd>


<dt>size</dt>
<dd>The size to be controlled.</dd>

</dl>

ps_tb: Helper function to find `tb` from the Phillips and Shi (2020)

Description

Usage

Arguments

References