NEWS.md

In exuber: Econometric Analysis of Explosive Time Series

exuber 1.0.1

Maintenance release to accommodate breaking changes in dplyr 1.1.0.

exuber 1.0.0

This first major release accompanies the publication of an article in the Journal of Statistical Software:

Vasilopoulos, K., Pavlidis, E., & Martínez-García, E. (2022). exuber: Recursive Right-Tailed Unit Root Testing with R. Journal of Statistical Software, 103(1), 1–26. https://doi.org/10.18637/jss.v103.i10

augment method for radf_obj and radf_cv

• New arg trunc

• Fixed inconsistencies among functions.

• Now radf stores the data that are later can be accessed with mat+

• Advanced features on datestamping: New columns that indicate:
• Signal
• Peak
• Ongoing
• Nonrejected
• New datestamping procedure rev_radf etc.
• New bootstrap procedure radf_wb_cv2 and radf_wb_distr2
• New coloring convention for plotting ds and obj classes

Bug Fixes

• Now autoplot can include periods that have an ongoing bubble

exuber 0.4.2

• Include printing methods for radf_obj and radf_cv.
• Removed unused class definitions.
• Using progress package for progress_bar.

exuber 0.4.1

Maintenance release for compatibility with dplyr v1.0.0.

exuber 0.4.0

Design

We have the following design in mind for future scalability. If you want make inference about radf models, then the estimation can be achieved with radf() function and return an object of class radf_obj, and the critical values can be achieved with radf_*_cv() and return an object of class radf_cv.

Breaking changes

• autoplot() for radf models has been refactored and new features have been added for more flexibility and conformity with the {ggplot} mindset.
• Because of the change in autoplot, ggarrange() is now defunct.
• fortify() methods have been replaced by tidy(), augment(), tidy_join() and glance_join() methods. fortify() methods are now defunct.
• Also glance() is now defunct. The user can use tidy() with panel=TRUE instead.
• Changed the names of:
• mc_cv() to radf_mc_cv(). mc_cv() is now deprecated.
• mc_distr() to radf_mc_distr(). mc_distr() is now deprecated.
• wb_cv() to radf_wb_cv(). wb_cv() is now deprecated.
• wb_distr() to radf_wb_distr(). wb_distr() is now deprecated.
• sb_cv() to radf_sb_cv(). sb_cv() is now deprecated.
• sb_distr() to radf_sb_distr(). sb_distr() is now deprecated.
• crit dataset to radf_crit.
• col_names() to series_names(). col_names() is now deprecated.

exuberdata

• We created a new package called exuberdata that accommodates critical values for up to 2000 observations. Critical values can be examined with exuberdata::radf_crit2. The package is created through drat R archive Template, and can be easily installed with install.packages('exuberdata', repos = 'https://kvasilopoulos.github.io/drat/', type = 'source') or through install_exuberdata wrapper function that is provided in exuber.

Improvements

• The package zoo has been used as a dependency to import the method index(). We made the decision to remove zoo and create a new method index() internally.

exuber 0.3.0

Breaking changes

• Changed opt_bsadf = conservative for the simulated critical values (crit), also reduced the size of the crit from 700 to 600 due to package size restrictions.
• sim_dgp1() and sim_dgp2() have been renamed to sim_psy1() and sim_psy2() to better describe the origination of the dgp.
• sim_dgp1() and sim_dgp2() have been soft-deprecated.
• autoplot_radf() arranges automatically multiple graphs, to return to previous behavior we included the optional argument arrange which is set to TRUE by default.

Three new functions have been added to simulate empirical distributions for:

• mc_dist(): Monte Carlo
• wb_dist(): Wild Bootstrap
• sb_dist(): Sieve Bootstrap

and a function that can calculate the p-values calc_pvalue() given the above distributions as argument.

Also methods tidy() and autoplot() have been added to turn the object into a tidy tibble and draw a particular plot with ggplot2, respectively.

New features

• tidy() methods for objects of class radf, cv.
• augment() methods for objects of class radf and cv.
• augment_join() to combine object radf and cv into a single data.frame.
• glance() method for objects of class radf.

Improvements

• New printing output for the functions summary(), diagnostics() and datestamp().
• New improved progressbar with more succinct printing for wb_cv()
• seed argument to functions that are using rng. Also the option to declare a global seed for reproducibility with the option(exuber.global_seed = ###)

Bug Fixes

• sb_cv() and wb_cv()now can parse data that contain a date-column. Similarly, to what radf() is doing.

exuber 0.2.1.9000

• Website development

exuber 0.2.1

• Changed DESCRIPTION to include sb_cv reference.
• Renamed boolean to dummy from datestamp and diagnostics.
• datestamp dummy is now an attribute.

exuber 0.2.0

Options

Some of the arguments in the functions were included as options, you can set the package options with e.g. options(exuber.show_progress = TRUE).

• parallel option boolean, allows for parallel in critical values computation.
• ncores option numeric, sets the number of cores, defaults to max - 1.
• show_progress option boolean, allows you to disable the progress bar, defaults to TRUE.

New features

• Panel estimation in radf()
• Added sb_cv() function: Panel Sieve Bootstrapped critical values
• Default critical values are supplied directly into summary(), diagnostics, datestamp() and autoplot(), without having to specify argument cv. The critical values have been simulated from mc_cv() function and stored as data. Custom critical values should be provided by the user with the option cv.
• Added ggarrange() function, that can arrange a list of ggplot objects into a single grob.
• Added fortify to arrange a data.frame from radf() function.

Improvements

• Parallel and ncores arguments are now set as options.
• Ability to remove progressbar from package options.
• radf() can parse date from ts objects.
• report() has been renamed into summary().
• plot() has been renamed into autoplot().
• plot() and report() are soft deprecated.

Bug Fixes

• Progressbar appears in the beginning of the iteration
• Plotting date now works without having to to include any additional plotting option

exuber documentation built on March 31, 2023, 9:51 p.m.