exuber: Recursive Right-Tailed Unit Root Testing with R

Enrique Martínez García (), Efthymios Pavlidis and Kostas Vasilopoulos ()

No 383, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

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, 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.

Keywords: Mildly explosive time series; Right-tailed unit root tests; R (search for similar items in EconPapers)
JEL-codes: C15 C22 C23 C53 C87 (search for similar items in EconPapers)
Pages: 28
Date: 2020-05-12, Revised 2021-10-19
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:87964

DOI: 10.24149/gwp383r1

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