exuber: Econometric Analysis of Explosive Time Series (original) (raw)

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>.

Version:

1.1.0

Depends:

R (≥ 3.2)

Imports:

cli (≥ 1.1.0), doRNG (≥ 1.8.2), doSNOW (≥ 1.0.16), dplyr (≥ 1.0.0), foreach (≥ 1.4.4), generics (≥ 0.0.2), ggplot2 (≥ 3.1.1), glue (≥ 1.3.1), lubridate (≥ 1.7.4), parallel, purrr (≥ 0.3.2), Rcpp (≥ 0.12.17), rlang (≥ 0.3.4), tibble (≥ 3.0.2), tidyr (≥ 0.8.3), progress (≥ 1.2.2)

LinkingTo:

Rcpp (≥ 1.0.1), RcppArmadillo (≥ 0.9.400.2.0)

Suggests:

magrittr (≥ 1.5), exuberdata (≥ 0.2.0), forcats (≥ 0.5.0), gridExtra (≥ 2.3), knitr (≥ 1.22), rmarkdown (≥ 1.12), spelling (≥ 2.1), stringr (≥ 1.4.0), testthat (≥ 2.1.1), withr (≥ 2.1.2)

Published:

2025-08-31

DOI:

10.32614/CRAN.package.exuber

Author:

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

Maintainer:

Kostas Vasilopoulos <k.vasilopoulo at gmail.com>

BugReports:

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

License:

GPL-3