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GTBpy Documentation
====================

**GTBpy** is a toolbox that implements bubble tests from the following papers:

- **PWY (SADF test)**: `Phillips, Wu, and Yu (2011) <https://onlinelibrary.wiley.com/doi/10.1111/j.1468-2354.2010.00625.x>`_  
- **PSY (GSADF test)**: `Phillips, Shi, and Yu (2015) <https://onlinelibrary.wiley.com/doi/full/10.1111/iere.12131>`_  
- **WHL test**: Whitehouse, `Harvey, and Leybourne (2022) <https://onlinelibrary.wiley.com/doi/full/10.1111/obes.12540>`_  

The package also includes two tests for evaluating forecast performance:

- **Equal MAFE and MSFE test**: `Harvey, Leybourne, and Newbold (1997) <https://www.sciencedirect.com/science/article/abs/pii/S0169207096007194>`_  
- **Forecast encompassing test**: `Harvey, Leybourne, and Newbold (1998) <https://www.jstor.org/stable/1392581>`_

Additionally, GTBpy introduces a novel method for constructing a search index using Google Trends data.
This method is inspired by the following study:

- **Google Trends**: `Stig V. Møller, Thomas Pedersen, Erik C. M. Schutte, Allan Timmermann (2023) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3805290>`_


GTBpy is a work in progress, and a lot remains to be done before we reach version 1.0. The source code is available on `GitHub <https://github.com/Mohammad-ebr/GTBpy>`_.


.. toctree::
   :maxdepth: 2
   :caption: Contents:

   modules


Credits
-------

GTBpy was created by `Mohammad Ebrahimi <https://www.linkedin.com/in/3moheb/>`_.