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>.
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dickey-fullerexplosive-dynamicssimulationtime-seriesopenblascpp
7.27 score 32 stars 129 scripts 518 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
4.41 score 4 stars 13 scripts 163 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>.
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inferenceivxlocal-to-unitypredictive-regressionsopenblascpp
3.97 score 17 stars 11 scripts 240 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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3.93 score 9 stars 19 scripts 226 downloads