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

Source: R/reg-helper.R

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

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.