Package: exuber 2.0.0

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 uses the matrix inversion lemma, so no matrix has to be inverted at each step, which makes the tests much faster to compute. The package also simulates 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]

exuber_2.0.0.tar.gz
exuber_2.0.0.zip(r-4.7-x86_64)exuber_2.0.0.zip(r-4.7-arm64)exuber_2.0.0.zip(r-4.6-x86_64)exuber_2.0.0.zip(r-4.6-arm64)exuber_2.0.0.zip(r-4.5-x86_64)
exuber_2.0.0.tgz(r-4.6-x86_64)exuber_2.0.0.tgz(r-4.6-arm64)exuber_2.0.0.tgz(r-4.5-x86_64)exuber_2.0.0.tgz(r-4.5-arm64)
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exuber_2.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
exuber/json (API)

# Install 'exuber' in R:
install.packages('exuber', repos = c('https://kvasilopoulos.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/kvasilopoulos/exuber/issues

Pkgdown/docs site:https://kvasilopoulos.github.io

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

dickey-fullerexplosive-dynamicssimulationtime-seriesopenblascpp

8.92 score 32 stars 140 scripts 1.3k downloads 88 exports 51 dependencies

Last updated from:d92157b390. Checks:15 OK. Indexed: yes.

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linux-devel-x86_64OK196
source / vignettesOK268
linux-release-arm64OK177
linux-release-x86_64OK226
macos-release-arm64OK192
macos-release-x86_64OK507
macos-oldrel-arm64OK226
macos-oldrel-x86_64OK399
windows-devel-arm64OK309
windows-devel-x86_64OK209
windows-release-arm64OK350
windows-release-x86_64OK229
windows-oldrel-x86_64OK233
wasm-releaseOK138

Exports:%>%augmentaugment_joinautoplotautoplot2calc_pvaluecobubble_testcol_namescontagion_regcusum_testdatestampdating_hlsdating_hlwdating_knpdating_pdcdiagnosticsexuber_functionsfortifyggarrangeindexindex<-lbi_testmc_cvmonitormonitor_cusummonitor_lbimonitor_quantileps_tbpsy_dspsy_minwquantile_testradfradf_commonradf_common_cvradf_kpradf_mc_cvradf_mc_distrradf_recoveryradf_recovery_cvradf_sb_cvradf_sb_distrradf_sbzradf_sbz_cvradf_sbz_unionradf_signradf_sign_cvradf_sign_dmradf_sign_dm_cvradf_ttradf_tt_cvradf_wb_cvradf_wb_cv2radf_wb_distrradf_wb_distr2radf_wb_ps_cvradf_wb_ps_distrreportrootstampsb_cvscale_exuber_manualseries_namesseries_names<-shadesim_blansim_coexplosivesim_commonsim_dgp1sim_dgp2sim_divsim_evanssim_falsebubblesim_fisim_innovsim_marsim_msbubblesim_ps1sim_psy1sim_psy2sim_treesim_vol_breaksim_vol_cirsim_vol_garchsim_vol_svssu_testtheme_exubertidytidy_joinwb_cv

Dependencies:clicodetoolscpp11digestdoFuturedplyrfarverforeachfuturefuture.applygenericsggplot2globalsgluegtableisobanditeratorslabelinglatticelifecyclelistenvlubridatemagrittrMASSMatrixMatrixModelsparallellypillarpkgconfigprogressrpurrrquantregR6RColorBrewerRcppRcppArmadillorlangS7scalesSparseMstringistringrsurvivaltibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr

Intro to exuber
Estimation | Analysis | Plotting
Rendered fromexuber.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2019-04-05

Real-Time Monitoring
Monitoring and testing | One bubble, five monitors | Which to reach for
Rendered frommonitoring.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2026-08-18

Experimental Methods: radf_recovery() and datestamp(option = 'svadf')
What "experimental" means here | radf_recovery(): dating a collapse and a recovery | datestamp(option = "svadf"): a preprint | Using them responsibly
Rendered fromexperimental-methods.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2026-08-18

Naming Conventions and the Analysis/Tidying/Plotting Pipeline
What this page covers | The naming scheme | What actually plugs into summary()/datestamp()/tidy()/autoplot() | Full support: radf_common(), radf_kp(), radf_tt(), radf_sign(), radf_sign_dm(), radf_sbz() | Own print() and autoplot(): everything else | Summary
Rendered fromnaming-and-analysis.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2026-08-17

Plotting with exuber
One autoplot() per object | The radf() plot | Changing the appearance | Building your own plot | Distributions | Which to reach for
Rendered fromplotting.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2019-06-11

Time-Transformed Test (STADF/GSTADF)
Why another test | Basic usage | What is estimated | Dating and plotting a detected bubble
Rendered fromradf-tt.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2026-08-09

Volatility-Robust Alternatives to radf()
The shared problem | Sign-based: radf_sign() | Kernel-purged: radf_kp() | WLS + kernel volatility: radf_sbz() | Union-of-rejections: radf_sbz_union() | Which to reach for
Rendered fromvolatility-robust-radf.Rmdusingknitr::rmarkdown

Last update: 2026-10-06
Started: 2026-08-18

Alternative Tests: lbi_test(), ssu_test(), quantile_test()
Why not just use radf() | A fixed root, which lbi_test() detects | A varying root, which ssu_test() detects and lbi_test() misses | Testing a quantile instead of the mean | Which to reach for
Rendered fromalternative-tests.Rmdusingknitr::rmarkdown

Last update: 2026-10-03
Started: 2026-08-18

Bivariate Bubble Relationships: cobubble_test() and contagion_reg()
Two different questions about two series | cobubble_test(): are these the same bubble? | contagion_reg(): how strongly do they co-move, and when? | Which to reach for
Rendered fromco-explosivity.Rmdusingknitr::rmarkdown

Last update: 2026-10-03
Started: 2026-08-18

Dating Methods: Alternatives to datestamp()
Why these exist alongside datestamp() | A single bubble, four estimates | Which to reach for
Rendered fromdating-methods.Rmdusingknitr::rmarkdown

Last update: 2026-10-03
Started: 2026-08-18

Root Inference: How Fast Is the Bubble Growing
A different question from "is there a bubble" | Detect, date, then estimate the root | Every episode at once
Rendered fromroot-inference.Rmdusingknitr::rmarkdown

Last update: 2026-10-03
Started: 2026-08-18

Simulation
What the sim_*() family is for | The PSY experiment | Plotting a simulated series | Swapping the innovations | Multi-series processes | Which to reach for
Rendered fromsimulation.Rmdusingknitr::rmarkdown

Last update: 2026-10-03
Started: 2019-04-05

Readme and manuals

Help Manual

Help pageTopics
Augment into a joint modelaugment_join
Augment into a joint modelaugment_join.radf_obj
Augment a 'radf_cv' objectaugment.radf_cv
Augment a 'radf_obj' objectaugment.radf_obj
Plot method for cobubble_test() outputautoplot.cobubble_test_obj
Plot method for contagion_reg() outputautoplot.contagion_reg_obj
Plot method for cusum_test() outputautoplot.cusum_test_obj
Plot method for dating_hls() outputautoplot.dating_hls_obj
Plot method for dating_hlw() outputautoplot.dating_hlw_obj
Plot method for dating_knp() outputautoplot.dating_knp_obj
Plot method for dating_pdc() outputautoplot.dating_pdc_obj
Plotting a 'ds_radf' objectautoplot.ds_radf
Plot method for lbi_test() outputautoplot.lbi_test_obj
Plot method for monitor_cusum() outputautoplot.monitor_cusum_obj
Plot method for monitor_lbi() outputautoplot.monitor_lbi_obj
Plot method for monitor() outputautoplot.monitor_obj
Plot method for monitor_quantile() outputautoplot.monitor_quantile_obj
Plot method for quantile_test() outputautoplot.quantile_test_obj
Plotting a 'radf_distr' objectautoplot.radf_distr
Plotting 'radf' modelsautoplot.radf_obj autoplot2.radf_obj shade
Plot method for radf_recovery() outputautoplot.radf_recovery_obj
Plot method for radf_sbz_union() outputautoplot.radf_sbz_union_obj
Plot method for rootstamp() output on datestamped episodesautoplot.rootstamp_episodes
Plot method for rootstamp() output on a single sub-sampleautoplot.rootstamp_est
Plot method for ssu_test() outputautoplot.ssu_test_obj
Test for Co-explosive Behaviour Between Two Seriescobubble_test
Bubble Contagion Regression (Greenaway-McGrevy & Phillips 2016)contagion_reg
CUSUM and CUSUM-of-Squares Bubble Tests (Kurozumi & Nishi 2025)cusum_test
Date-stamping periods of mildly explosive behaviordatestamp datestamp.radf_obj
SSR/BIC Bubble Dating (Harvey, Leybourne & Sollis 2017)dating_hls
Multi-Bubble SSR/BIC Dating (Harvey, Leybourne & Whitehouse 2020)dating_hlw
Bias-Corrected Bubble Dating (Kejriwal, Nguyen & Perron 2025)dating_knp
Sequential Sample-Splitting Bubble Dating (PDC/KS)dating_pdc
Diagnostics on hypothesis testingdiagnostics diagnostics.radf_obj
Look Up exuber's Test/Procedure Functions by Familyexuber_functions
Retrieve/Replace the indexindex index-rd index<-
Locally Best Invariant Test for a Bubble (Breitung & Diegel 2025)lbi_test
Real-Time Monitoring for Explosive Bubblesmonitor
CUSUM Real-Time Monitoring for Explosive Bubblesmonitor_cusum
Sequential LBI Monitoring for an Unknown Bubble Start Date (Breitung & Diegel 2025)monitor_lbi
QPWY/QPSY Recursive Quantile Monitoring (Wu, Shi & Wu 2025)monitor_quantile
Helper function to find 'tb' from Phillips and Shi (2020)ps_tb
Helper functions in accordance to PSY(2015)psy_ds psy_minw
Quantile Unit Root Test for Bubble Detection (Global Test)quantile_test
Recursive Augmented Dickey-Fuller Testradf
Common-Bubble Detection via PCA + PSYradf_common
Critical Values for the Common-Bubble (PCA + PSY) Testradf_common_cv
Kernel-Purged Heteroskedasticity-Robust PSY Testradf_kp
Monte Carlo Critical Valuesradf_mc_cv radf_mc_distr
Reverse-Regression Dating of Crisis Origination and Market Recoveryradf_recovery
Monte Carlo Critical Values for Reverse-Regression Recovery Datingradf_recovery_cv
Panel Sieve Bootstrap Critical Valuesradf_sb_cv radf_sb_distr
WLS/Kernel-Volatility Bubble Statistic (SBZ)radf_sbz
Wild Bootstrap Critical Values for the SBZ Statisticradf_sbz_cv
SBZ Weighted Least Squares Bubble Test with Union-of-Rejectionsradf_sbz_union
Sign-Based Bubble Test (sPWY / sPSY)radf_sign
Monte Carlo Critical Values for the Sign-Based Testradf_sign_cv
Recursively Demeaned Sign-Based Bubble Test (s-bar-PWY / s-bar-PSY)radf_sign_dm
Monte Carlo Critical Values for the Recursively Demeaned Sign-Based Testradf_sign_dm_cv
Time-Transformed Test for Explosive Bubbles under Non-stationary Volatilityradf_tt
Monte Carlo critical values for the time-transformed test (STADF/GSTADF)radf_tt_cv
Wild Bootstrap Critical Valuesradf_wb_cv radf_wb_distr
Wild Bootstrap Critical Values (Phillips & Shi 2020)radf_wb_ps_cv radf_wb_ps_distr
Confidence Interval and Doubling Time for an Explosive Rootrootstamp rootstamp.default rootstamp.radf_obj
Exuber scale and theme functionsscale_exuber_manual theme_exuber
Retrieve/Replace series namesseries_names series_names<- series_names<-.radf_obj series_names<-.sb_cv series_names<-.wb_cv
Simulation of a Blanchard (1979) / Rotermann-Wilfling (2018) bubble processsim_blan
Simulation of a bivariate co-explosive pairsim_coexplosive
Simulation of a latent common-factor bubble across multiple seriessim_common
Simulated datasetsim_data sim_data_wdate
Simulation of dividendssim_div
Simulation of an Evans (1991) bubble processsim_evans
Simulation of a deterministic technology-adoption "false bubble" nullsim_falsebubble
Simulate fractionally-integrated (long-memory) innovationssim_fi
Simulate innovations with heavy-tailed/skewed marginal distributionssim_innov
Simulation of a mixed causal-noncausal AR(1,1) bubblesim_mar
Simulation of a Markov-switching present-value bubblesim_msbubble
Simulation of a single-bubble process with multiple forms of collapse regimesim_ps1
Simulation of a single-bubble processsim_psy1
Simulation of a two-bubble processsim_psy2
Simulation of a stochastic branching-tree bubblesim_tree
Simulate innovations with a permanent volatility breaksim_vol_break
Simulate CIR-type stochastic-volatility innovationssim_vol_cir
Simulate GARCH(1,1)/TGARCH(1,1) innovationssim_vol_garch
Simulate AR(1) lognormal stochastic-volatility innovationssim_vol_sv
Stochastic Unit Root Bubble Test (Kurozumi & Nishi 2025)ssu_test
Summarizing 'radf' modelssummary.radf_obj
Tidy into a joint modeltidy_join
Tidy into a joint modeltidy_join.radf_obj
Tidy a 'ds_radf' objecttidy.ds_radf
Tidy a 'radf_cv' objecttidy.radf_cv
Tidy a 'radf_distr' objecttidy.radf_distr
Tidy a 'radf_obj' objecttidy.radf_obj