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.
|Author||Kostas Vasilopoulos [cre, aut], Eftymios Pavlidis [aut], Simon Spavound [aut], Enríqeu Matrínez-García [aut]|
|Maintainer||Kostas Vasilopoulos <[email protected]>|
|Package repository||View on CRAN|
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