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) . Simulate a variety of periodically-collapsing bubble models. The estimation and simulation utilizes the matrix inversion lemma from the recursive least squares algorithm, which results in a significant speed improvement.


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install.packages("exuber")

0.1.0 by Kostas Vasilopoulos, 3 months ago


https://github.com/kvasilopoulos/exuber


Report a bug at https://github.com/kvasilopoulos/exuber/issues


Browse source code at https://github.com/cran/exuber


Authors: Kostas Vasilopoulos [cre, aut], Eftymios Pavlidis [aut], Simon Spavound [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports doParallel, parallel, foreach, Rcpp, rlang, dplyr, ggplot2, purrr

Suggests knitr, rmarkdown, covr, testthat, withr, gridExtra

Linking to Rcpp


See at CRAN