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.

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Package details

AuthorKostas Vasilopoulos [cre, aut], Eftymios Pavlidis [aut], Simon Spavound [aut], Enríqeu Matrínez-García [aut]
MaintainerKostas Vasilopoulos <[email protected]>
URL https://github.com/kvasilopoulos/exuber
Package repositoryView on CRAN
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exuber documentation built on Feb. 4, 2019, 5:04 p.m.