exuber: Econometric Analysis of Explosive Time Series

Testing for and dating periods of explosive dynamics (exuberance) in time series using recursive unit root tests as proposed by Phillips, P. C., Shi, S. and Yu, J. (2015a) <doi:10.1111/iere.12132>. Simulation of a variety of periodically-collapsing bubble processes. The estimation code utilizes the matrix inversion lemma of the recursive least squares algorithm which results in significant speed improvements.

Getting started

Package details

AuthorKostas Vasilopoulos [cre, aut], Eftymios Pavlidis [aut], Simon Spavound [aut], Enríqeu Matrínez-García [aut]
MaintainerKostas Vasilopoulos <[email protected]>
LicenseGPL-3
Version0.2.0
URL https://github.com/kvasilopoulos/exuber
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("exuber")

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exuber documentation built on Feb. 4, 2019, 5:04 p.m.