ps_tb {exuber}

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

Description

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

Usage

ps_tb(n, freq = c("monthly", "quarterly", "annual", "weekly"), size = 2)

Arguments

n

A positive integer. The sample size.

freq

The type of date-interval.

size

The size to be controlled.

References

Phillips, P. C., & Shi, S. (2020). Real time monitoring of asset markets: Bubbles and crises. In Handbook of Statistics (Vol. 42, pp. 61-80). Elsevier.

Shi, S., Hurn, S., Phillips, P.C.B., 2018. Causal change detection in possibly integrated systems: Revisiting the money-income relationship.