run_dating_alg {bbdetection}

Runs the dating algorithm to identify Bull and Bear states

Description

This function implements the dating algorithm of Bry and Boschan (1971) to identify Bull and Bear states

Usage

run_dating_alg(index)

Arguments

index

vector containing the stock price index

Value

A logical vector that contains TRUE for Bull states and FALSE for Bear states

Note

Be aware that the states in the beginning and in the end of "index" are not properly defined. The users are advised to always visually check the correctness of the result (during Bull states the prices should generally increase, during the Bear states decrease).

References

Bry, G. and Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER.

Pagan, A. R. and Sossounov, K. A. (2003). A Simple Framework for Analysing Bull and Bear Markets. Journal of Applied Econometrics, 18 (1), 23-46.

Gonzalez, L., Powell, J. G., Shi, J., and Wilson, A. (2005). Two Centuries of Bull and Bear Market Cycles. International Review of Economics and Finance, 14 (4), 469-486.