Package: exuber 1.0.2

exuber: Econometric Analysis of Explosive Time Series

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) <doi:10.1111/iere.12132> and Pavlidis et al. (2016) <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) <doi:10.18637/jss.v103.i10>.

Authors:Kostas Vasilopoulos [cre, aut], Efthymios Pavlidis [aut], Enrique Martínez-García [aut], Simon Spavound [aut]

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exuber.pdf |exuber.html✨
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Bug tracker:https://github.com/kvasilopoulos/exuber/issues

On CRAN:

dickey-fullerexplosive-dynamicssimulationtime-series

45 exports 28 stars 2.48 score 52 dependencies 72 scripts 465 downloads

Last updated 6 months agofrom:7a0c3faed0. Checks:OK: 7 NOTE: 2. Indexed: yes.

Exports:%>%augmentaugment_joinautoplotautoplot2calc_pvaluecol_namesdatestampdiagnosticsfortifyggarrangeindexindex<-install_exuberdatamc_cvps_tbpsy_dspsy_minwradfradf_mc_cvradf_mc_distrradf_sb_cvradf_sb_distrradf_wb_cvradf_wb_cv2radf_wb_distrradf_wb_distr2reportsb_cvscale_exuber_manualseries_namesseries_names<-shadesim_blansim_dgp1sim_dgp2sim_divsim_evanssim_ps1sim_psy1sim_psy2theme_exubertidytidy_joinwb_cv

Dependencies:clicodetoolscolorspacecpp11crayondigestdoRNGdoSNOWdplyrfansifarverforeachgenericsggplot2gluegtablehmsisobanditeratorslabelinglatticelifecyclelubridatemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigprettyunitsprogresspurrrR6RColorBrewerRcppRcppArmadillorlangrngtoolsscalessnowstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr