locate locate bubble/crisis periods with non-zero bubble indicator
locate(index, dates)
| index | A vector. A dummy variable that equals 1 for a bubble/crisis period and 0 otherwise. |
|---|---|
| dates | A vector. Dates of the time series. |
A vector. Dates identified as bubbles or crisis.
Phillips, P. C. B., Shi, S., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1034--1078.
Phillips, P. C. B., Shi, S., & Yu, J. (2015b). Testing for multiple bubbles: Limit Theory for Real-Time Detectors. International Economic Review, 56(4), 1079--1134.
* Phillips, P. C. B., & Shi, S.(forthcoming). Real time monitoring of asset markets: Bubbles and crisis. In Hrishikesh D. Vinod and C.R. Rao (Eds.), Handbook of Statistics Volume 41 - Econometrics Using R.