Accepted author manuscript, 651 KB, PDF document
Available under license: CC BY
Final published version
Licence: CC BY
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - exuber
T2 - Recursive Right-Tailed Unit Root Testing with R
AU - Vasilopoulos, Konstantinos
AU - Pavlidis, Efthymios
AU - Martínez-García, Enrique
PY - 2022/8/22
Y1 - 2022/8/22
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, Mart ́ınez-Garc ́ıa, 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 using artificial 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, Mart ́ınez-Garc ́ıa, 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 using artificial series and a panel on international house prices
KW - Mildly explosive time series
KW - Right-tailed unit root tests
KW - R
U2 - 10.18637/jss.v103.i10
DO - 10.18637/jss.v103.i10
M3 - Journal article
VL - 103
SP - 1
EP - 26
JO - Journal of Statistical Software
JF - Journal of Statistical Software
SN - 1548-7660
IS - 10
ER -