exuber: Recursive Right-Tailed Unit Root Testing with R
Dublin Core
Title
exuber: Recursive Right-Tailed Unit Root Testing with R
Subject
: mildly explosive time series, right-tailed unit root tests, R.
Description
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 augmented Dickey-Fuller 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, Martínez-García, 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.
mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum augmented Dickey-Fuller 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, Martínez-García, 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.
Creator
Kostas Vasilopoulos
Source
https://www.jstatsoft.org/article/view/v103i10
Publisher
Lancaster University
Date
July 2022
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Kostas Vasilopoulos, “exuber: Recursive Right-Tailed Unit Root Testing with R,” Repository Horizon University Indonesia, accessed April 4, 2025, https://repository.horizon.ac.id/items/show/8266.