psy_minw

psy_ds

<code>psy_minw</code> and <code>psy_ds</code> use the rules-of- thumb proposed by
Phillips et al. (2015) to compute the minimum window size and the
minimum duration of an episode of exuberance, respectively.

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

psy_minw function

<dl><dt>n</dt>
<dd>A positive integer. The sample size.</dd>
<dt>rule</dt>
<dd>Rule to compute the minimum duration of an episode (default: rule = 1,
where T denotes the sample size). Rule 1 corresponds to log(T), while rule 2 to log(T)/T.</dd>
<dt>delta</dt>
<dd>Frequency-dependent parameter (default; delta = 1). See details.</dd></dl>

Arguments

Helper functions in accordance to PSY(2015) — psy_minw

<dl>

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


<dt>rule</dt>
<dd>Rule to compute the minimum duration of an episode (default: rule = 1,
where T denotes the sample size). Rule 1 corresponds to log(T), while rule 2 to log(T)/T.</dd>


<dt>delta</dt>
<dd>Frequency-dependent parameter (default; delta = 1). See details.</dd>

</dl>

psy_minw: Helper functions in accordance to PSY(2015)

Description

Usage

Arguments

Details

References

Examples