Exuber: Recursive Right-Tailed Unit Root Testing with R

28 Pages Posted: 12 Jun 2020 Last revised: 11 Jan 2022

See all articles by Enrique Martínez-García

Enrique Martínez-García

Federal Reserve Bank of Dallas - Research Department

Efthymios Pavlidis

affiliation not provided to SSRN

Kostas Vasilopoulos

Lancaster University - Department of Economics

Date Written: May, 2020

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

JEL Classification: C15, C22, C23, C53, C87

Suggested Citation

Martinez-Garcia, Enrique and Pavlidis, Efthymios and Vasilopoulos, Kostas, Exuber: Recursive Right-Tailed Unit Root Testing with R (May, 2020). Globalization Institute Working Paper No. 383, Available at SSRN: https://ssrn.com/abstract=3600452 or http://dx.doi.org/10.24149/gwp383r1

Enrique Martinez-Garcia (Contact Author)

Federal Reserve Bank of Dallas - Research Department ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States
214-922-5262 (Phone)

HOME PAGE: http://sites.google.com/view/emgeconomics

Efthymios Pavlidis

affiliation not provided to SSRN

No Address Available

Kostas Vasilopoulos

Lancaster University - Department of Economics ( email )

Lancaster LA1 4YX, LA1 4YX
United Kingdom

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