Package: exuber 1.0.2

Kostas Vasilopoulos

exuber: Econometric Analysis of Explosive Time Series

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>.

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

exuber_1.0.2.tar.gz
exuber_1.0.2.tar.gz(r-4.5-noble)exuber_1.0.2.tar.gz(r-4.4-noble)
exuber_1.0.2.tgz(r-4.4-emscripten)exuber_1.0.2.tgz(r-4.3-emscripten)
exuber.pdf |exuber.html
exuber/json (API)
NEWS

# Install 'exuber' in R:
install.packages('exuber', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • radf_crit - Stored Monte Carlo Critical Values

openblascpp

4.06 score 77 scripts 443 downloads 45 exports 52 dependencies

Last updated 2 years agofrom:453054b85c. Checks:OK: 1 NOTE: 1. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 01 2024
R-4.5-linux-x86_64NOTEDec 01 2024

Exports:%>%augmentaugment_joinautoplotautoplot2calc_pvaluecol_namesdatestampdiagnosticsfortifyggarrangeindexindex<-install_exuberdatamc_cvps_tbpsy_dspsy_minwradfradf_mc_cvradf_mc_distrradf_sb_cvradf_sb_distrradf_wb_cvradf_wb_cv2radf_wb_distrradf_wb_distr2reportsb_cvscale_exuber_manualseries_namesseries_names<-shadesim_blansim_dgp1sim_dgp2sim_divsim_evanssim_ps1sim_psy1sim_psy2theme_exubertidytidy_joinwb_cv

Dependencies:clicodetoolscolorspacecpp11crayondigestdoRNGdoSNOWdplyrfansifarverforeachgenericsggplot2gluegtablehmsisobanditeratorslabelinglatticelifecyclelubridatemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigprettyunitsprogresspurrrR6RColorBrewerRcppRcppArmadillorlangrngtoolsscalessnowstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithr

Intro to exuber

Rendered fromexuber.Rmdusingknitr::rmarkdownon Dec 01 2024.

Last update: 2020-05-04
Started: 2019-07-15

Plotting with exuber

Rendered fromplotting.Rmdusingknitr::rmarkdownon Dec 01 2024.

Last update: 2022-08-19
Started: 2019-07-15

Simulation

Rendered fromsimulation.Rmdusingknitr::rmarkdownon Dec 01 2024.

Last update: 2020-05-04
Started: 2019-07-15

Readme and manuals

Help Manual

Help pageTopics
Plotting a 'ds_radf' objectautoplot.ds_radf
Plotting a 'radf_distr' objectautoplot.radf_distr
Plotting 'radf' modelsautoplot.radf_obj autoplot2.radf_obj shade
Date-stamping periods of mildly explosive behaviordatestamp datestamp.radf_obj
Diagnostics on hypothesis testingdiagnostics diagnostics.radf_obj
Retrieve/Replace the indexindex index-rd index<-
Install 'exuberdata' Packageinstall_exuberdata
Helper function to find 'tb' from the Phillips and Shi (2020)ps_tb
Helper functions in accordance to PSY(2015)psy_ds psy_minw
Recursive Augmented Dickey-Fuller Testradf
Stored Monte Carlo Critical Valuesradf_crit
Monte Carlo Critical Valuesradf_mc_cv radf_mc_distr
Panel Sieve Bootstrap Critical Valuesradf_sb_cv radf_sb_distr
Wild Bootstrap Critical Valuesradf_wb_cv radf_wb_distr
Wild Bootstrap Critical Valuesradf_wb_cv2 radf_wb_distr2
Exuber scale and theme functionsscale_exuber_manual theme_exuber
Retrieve/Replace series namesseries_names series_names<- series_names<-.radf_obj series_names<-.sb_cv series_names<-.wb_cv
Simulation of a Blanchard (1979) bubble processsim_blan
Simulation of dividendssim_div
Simulation of an Evans (1991) bubble processsim_evans
Simulation of a single-bubble process with multiple forms of collapse regimesim_ps1
Simulation of a single-bubble processsim_psy1
Simulation of a two-bubble processsim_psy2
Summarizing 'radf' modelssummary.radf_obj
Tidy into a joint modelaugment_join tidy_join
Tidy into a joint modelaugment_join.radf_obj tidy_join.radf_obj
Tidy a 'ds_radf' objecttidy.ds_radf
Tidy a 'radf_cv' objectaugment.radf_cv tidy.radf_cv
Tidy a 'radf_distr' objecttidy.radf_distr
Tidy a 'radf_obj' objectaugment.radf_obj tidy.radf_obj