Testing for and dating periods of explosive dynamics (exuberance) in time series using recursive unit root tests as proposed by Phillips, P. C., Shi, S. and Yu, J. (2015a) <doi:10.1111/iere.12132>. Simulate a variety of periodically-collapsing bubble models. The estimation and simulation utilizes the matrix inversion lemma from the recursive least squares algorithm, which results in a significant speed improvement.
| Version: | 0.1.0 |
| Imports: | doParallel, parallel, foreach, Rcpp, rlang, dplyr, ggplot2, purrr |
| LinkingTo: | Rcpp |
| Suggests: | knitr, rmarkdown, covr, testthat, withr, gridExtra |
| Published: | 2018-06-17 |
| Author: | Kostas Vasilopoulos [cre, aut], Eftymios Pavlidis [aut], Simon Spavound [aut] |
| Maintainer: | Kostas Vasilopoulos <k.vasilopoulo at gmail.com> |
| BugReports: | https://github.com/kvasilopoulos/exuber/issues |
| License: | GPL-3 |
| URL: | https://github.com/kvasilopoulos/exuber |
| NeedsCompilation: | yes |
| Citation: | exuber citation info |
| Materials: | README |
| CRAN checks: | exuber results |
| Reference manual: | exuber.pdf |
| Package source: | exuber_0.1.0.tar.gz |
| Windows binaries: | r-devel: exuber_0.1.0.zip, r-release: exuber_0.1.0.zip, r-oldrel: exuber_0.1.0.zip |
| OS X binaries: | r-release: exuber_0.1.0.tgz, r-oldrel: exuber_0.1.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=exuber to link to this page.