TY - JOUR AU - Vasilopoulos, Kostas AU - Pavlidis, Efthymios AU - Martínez-García, Enrique PY - 2022/08/19 Y2 - 2024/03/29 TI - exuber: Recursive Right-Tailed Unit Root Testing with R JF - Journal of Statistical Software JA - J. Stat. Soft. VL - 103 IS - 10 SE - Articles DO - 10.18637/jss.v103.i10 UR - https://www.jstatsoft.org/index.php/jss/article/view/v103i10 SP - 1 - 26 AB - <p>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.</p> ER -