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>.
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dickey-fullerexplosive-dynamicssimulationtime-seriesopenblascpp
8.92 score 32 stars 140 scripts 1.3k downloads
ivx - Robust Econometric Inference
Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) <doi:10.1017/S0266466608090154> and Kostakis, Magdalinos and Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>. Also provides the extensions of IVX proposed in the later literature (IVX-AR, residual-augmented and lag-augmented IVX, IVX quantile regression, systems of predictive regressions, heteroskedasticity-robust standard errors, wild-bootstrap and subsample inference, combined instruments) and the standard non-IVX tests for predictability with persistent regressors as benchmarks.
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inferenceivxlocal-to-unitypredictive-regressionsopenblascpp
6.70 score 17 stars 27 scripts 295 downloads
transx - Transform Univariate Time Series
Univariate time series operations that follow an opinionated design. The main principle of 'transx' is to keep the number of observations the same. Operations that reduce this number have to fill the observations gap.
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detrendfiltersoutlierstime-seriestransx
4.45 score 4 stars 14 scripts 296 downloadsonsr - Client for the 'ONS' API
Client for the 'Office of National Statistics' ('ONS') API <https://api.beta.ons.gov.uk/v1>.
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3.98 score 9 stars 21 scripts 226 downloads