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>.

Last updated 12 months ago

dickey-fullerexplosive-dynamicssimulationtime-seriesopenblascpp

6.83 score 29 stars 77 scripts 491 downloads

uklr - Client to United Kingdom Land Registry

Access data from Land Registry Open Data <http://landregistry.data.gov.uk/> through 'SPARQL' queries. 'uklr' supports the house price index, transaction and price paid data.

Last updated 7 months ago

4.54 score 7 stars 6 scripts 184 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.

Last updated 4 years ago

detrendfiltersoutlierstime-seriestransx

4.29 score 3 stars 13 scripts 159 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>.

Last updated 4 years ago

inferenceivxlocal-to-unitypredictive-regressionsopenblascpp

3.95 score 18 stars 7 scripts 216 downloads

onsr - Client for the 'ONS' API

Client for the 'Office of National Statistics' ('ONS') API <https://api.beta.ons.gov.uk/v1>.

Last updated 1 years ago

3.88 score 9 stars 17 scripts 325 downloads

ihpdr - Download Data from the International House Price Database

Web scraping the <https://www.dallasfed.org> for up-to-date data on international house prices and exuberance indicators. Download data in tidy format.

Last updated 4 years ago

2.70 score 9 scripts 217 downloads