exuber: Recursive Right-Tailed Unit Root Testing with R

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 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.

Keywords

• mildly explosive time series
• right-tailed unit root tests
• r