exuber: Recursive Right-Tailed Unit Root Testing with R

exuber: Recursive Right-Tailed Unit Root Testing with R

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 Phillip...

Full description

Bibliographic Details
Main Authors: Kostas Vasilopoulos, Efthymios Pavlidis, Enrique Martínez-García
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2022-08-01
Series:Journal of Statistical Software
Subjects:
mildly explosive time series
right-tailed unit root tests
r
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/4331

Internet

https://www.jstatsoft.org/index.php/jss/article/view/4331

Similar Items