---
title: "Intro to exuber"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{Intro to exuber}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r setup, include = FALSE}
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  message=FALSE
)
options(cli.width = 80)
```

```{r echo=FALSE, message=FALSE}
library(exuber)
```

For our analysis we are going to use the `datasets::EuStockMarkets` dataset, which contains the daily closing prices of four major European stock indices: Germany DAX, Switzerland SMI, France CAC, and UK FTSE (see `?EuStockMarkets`). The data are sampled in business time, i.e., weekends and holidays are omitted. In this particular exercise we want to focus on weekly observations. To do so we aggregate to a weekly frequency and reduce the number of observations from 1860 to 372. 

```{r dataset}
stocks <- aggregate(EuStockMarkets, nfrequency = 52, mean)
```

## Estimation

We estimate the above series using the recursive Augmented Dickey-Fuller test with 1 lag.

```{r estimation}
est_stocks <- radf(stocks, lag = 1)
```

## Analysis

The summary will print the test statistic and the critical values for 10%, 5% and 1% significance level. The package provides simulated critical values for up to 600 observations, so we use them by omitting the `cv` argument in the `summary` function. 

```{r summary}
summary(est_stocks)
```

It seems that all stocks exhibit exuberant behaviour but we can also verify it using `diagnostics()`. This function is particularly useful when we deal a large number of series.

```{r diagnostics}
diagnostics(est_stocks)
```


If we need to know the exact period of exuberance we can do so with the function `datestamp()`. `datestamp()` works in a similar manner with `summary()` and `diagnostics()`. The user still has to specify the critical values, however we can still utilize the package's critical values by leaving the cv-argument blank.

```{r datestamp}
# Minimum duration of an explosive period 
rot = psy_ds(stocks) # log(n) ~ rule of thumb

dstamp_stocks <- datestamp(est_stocks, min_duration = rot)
dstamp_stocks
```
We can extract the datestamp as a dummy variable 1 = Exuberance, 0 = No exuberance.

```{r datestamp-dummy}
dummy <- attr(dstamp_stocks, "dummy")
tail(dummy)
```

## Plotting

The `autoplot` function returns a faceted ggplot2 object for all the series that reject the null hypothesis at 5% significance level.

```{r plot-radf, fig.width = 9}
autoplot(est_stocks)
```

Finally, we can plot just the periods the periods of exuberance. Plotting datestamp object is particularly useful when we have a lot of series, and we are interested to identify explosive patterns in all of them.

```{r plot-datestaemp, fig.width = 7, fig.height=2}
datestamp(est_stocks) %>% 
  autoplot()
```