I would like to know how to set the thickness of text stroke and the shape of the text shadow.

Jane-e is correct, and it looks like the demo below. You can apply multiple strokes to a layer using the menu command Layer > Layer Style > Stroke, or by clicking the Add a Layer Style button at the bottom of the Layers panel (the button has an fx label on it) and choosing Stroke. Photoshop Layer Styles existed before Essential Graphics.

The stroke corners are round by default, and that cannot be changed.

@Light335188169mia 

In Photoshop, the way to put a stroke on live text is to use a Layer Effect for Stroke. There can be multiple strokes of varying thickness, measured in pixels. 

Rounding corners with out converting the text to a shape cannot be done in PS, afaik. In Adobe Illustrator, it might be possible with the Appearance panel. The Effects in Illustrator are far more robust than those in Photoshop.

Jane