exuber: exuber: Econometric Analysis of Explosive Time Series

In exuber: Econometric Analysis of Explosive Time Series

exuber: Econometric Analysis of Explosive Time Series

Description

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 [e-mail]

Authors:

• Efthymios Pavlidis [e-mail]

• Enrique Martínez-García [e-mail]

• Simon Spavound [e-mail]

See Also

Useful links:

• https://github.com/kvasilopoulos/exuber

• Report bugs at https://github.com/kvasilopoulos/exuber/issues

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