exuber: exuber: Econometric Analysis of Explosive Time Series

exuberR Documentation

exuber: Econometric Analysis of Explosive Time Series

Description

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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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/iere.12132")} and Pavlidis et al. (2016) \Sexpr[results=rd]{tools:::Rd_expr_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. Details can be found in Vasilopoulos et al. (2022) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v103.i10")}.

Package options

exuber.show_progress

  • Should lengthy operations such as radf_mc_cv() show a progress bar? Default: TRUE

exuber.parallel

  • Should lengthy operations use parallel computation? Default: TRUE

exuber.ncores

  • How many cores to use for parallel computation. Default: system cores - 1

exuber.global_seed

  • When chosen automatically feeds into all functions with random-number generation. Default: NA

Author(s)

Maintainer: Kostas Vasilopoulos k.vasilopoulo@gmail.com

Authors:

See Also

Useful links:


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