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.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.0 by Kostas Vasilopoulos, 3 months ago

Report a bug at

Browse source code at

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