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  • LancasterWP2020_007

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exuber: Recursive Right-Tailed Unit Root Testing with R

Research output: Working paper

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exuber: Recursive Right-Tailed Unit Root Testing with R. / Vasilopoulos, Konstantinos; Pavlidis, Efthymios; Martínez-García, Enrique.
Lancaster: Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Research output: Working paper

Harvard

Vasilopoulos, K, Pavlidis, E & Martínez-García, E 2020 'exuber: Recursive Right-Tailed Unit Root Testing with R' Economics Working Papers Series, Lancaster University, Department of Economics, Lancaster.

APA

Vasilopoulos, K., Pavlidis, E., & Martínez-García, E. (2020). exuber: Recursive Right-Tailed Unit Root Testing with R. (Economics Working Papers Series). Lancaster University, Department of Economics.

Vancouver

Vasilopoulos K, Pavlidis E, Martínez-García E. exuber: Recursive Right-Tailed Unit Root Testing with R. Lancaster: Lancaster University, Department of Economics. 2020 May 13. (Economics Working Papers Series).

Author

Vasilopoulos, Konstantinos ; Pavlidis, Efthymios ; Martínez-García, Enrique. / exuber : Recursive Right-Tailed Unit Root Testing with R. Lancaster : Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Bibtex

@techreport{f9f6758c1933465c81f0ec11999de63e,
title = "exuber: Recursive Right-Tailed Unit Root Testing with R",
abstract = "This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu, and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi, and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martinez-Garcia, Mack, and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that we introduce in our implementation of these techniques utilizes the matrix inversion lemma and in that way achieves significant speed improvements. We illustrate the speed gains in a simulation experiment, and provide illustrations of the package usingartificial series and a panel on international house prices.",
keywords = "Mildly explosive time series, Right-tailed unit root tests, R",
author = "Konstantinos Vasilopoulos and Efthymios Pavlidis and Enrique Mart{\'i}nez-Garc{\'i}a",
year = "2020",
month = may,
day = "13",
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - exuber

T2 - Recursive Right-Tailed Unit Root Testing with R

AU - Vasilopoulos, Konstantinos

AU - Pavlidis, Efthymios

AU - Martínez-García, Enrique

PY - 2020/5/13

Y1 - 2020/5/13

N2 - This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu, and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi, and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martinez-Garcia, Mack, and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that we introduce in our implementation of these techniques utilizes the matrix inversion lemma and in that way achieves significant speed improvements. We illustrate the speed gains in a simulation experiment, and provide illustrations of the package usingartificial series and a panel on international house prices.

AB - This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu, and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi, and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martinez-Garcia, Mack, and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that we introduce in our implementation of these techniques utilizes the matrix inversion lemma and in that way achieves significant speed improvements. We illustrate the speed gains in a simulation experiment, and provide illustrations of the package usingartificial series and a panel on international house prices.

KW - Mildly explosive time series

KW - Right-tailed unit root tests

KW - R

M3 - Working paper

T3 - Economics Working Papers Series

BT - exuber

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -