exuber (Q54534)
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Econometric Analysis of Explosive Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | exuber |
Econometric Analysis of Explosive Time Series |
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Enrique Martínez-garcía
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Simon Spavound
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Enrique Martínez-García
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31 August 2025
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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>.
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