setpar_dating_alg {bbdetection} | R Documentation |
This function sets the paramters of the dating algorithm of Bry and Boschan (1971)
setpar_dating_alg(t_window, t_censor, t_phase, t_cycle, max_chng)
t_window |
the half-size of the rolling window to find minima and maxima |
t_censor |
the size of the left and right margin (for the cencoring operation) |
t_phase |
the minimum phase (bull or bear) length |
t_cycle |
the minimum full cycle length |
max_chng |
the change (in percentages) in the |
None
All parameters but "max_chng"
are given in a number of observations.
For example, if data are at the monthly frequency, "t_cycle=16"
defines that the minimum cycle length should be 16 months.
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.