exuber: Econometric Analysis of Explosive Time Series

Testing for and dating periods of explosive dynamics (exuberance) in time series using the univariate and panel recursive unit root tests proposed by Phillips et al. (2015) <doi:10.1111/iere.12132> and Pavlidis et al. (2016) <doi:10.1007/s11146-015-9531-2>. The recursive least-squares algorithm utilizes the matrix inversion lemma to avoid matrix inversion which results in significant speed improvements. Simulation of a variety of periodically-collapsing bubble processes.

Package details

AuthorKostas Vasilopoulos [cre, aut], Efthymios Pavlidis [aut], Simon Spavound [aut], Enrique Martínez-García [aut]
MaintainerKostas Vasilopoulos <k.vasilopoulo@gmail.com>
LicenseGPL-3
Version0.4.2
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 Dec. 18, 2020, 9:06 a.m.