crit

A dataset containing simulated critical values for up to 700 observations
based on default minimum window. The critical values have been simulated and
stored as data to save computation time for the user. Critical values can be also
obtained with the <code><a rd-options="=mc_cv" href="/link/mc_cv()?package=exuber&version=0.2.1&to=%3Dmc_cv" data-mini-rdoc="=mc_cv::mc_cv()">mc_cv()</a></code> function.

datasets

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.

Kostas Vasilopoulos

exuber

Econometric Analysis of Explosive Time Series

Efthymios Pavlidis

Simon Spavound

Enríque Martínez-García

crit function

A list with lower level lists that contain<dl class="dl-horizontal">
 <dt>adf_cv:</dt><dd>Augmented Dickey-Fuller</dd>
 <dt>badf_cv:</dt><dd>Backward Augmented Dickey-Fuller</dd>
 <dt>sadf_cv:</dt><dd>Supremum Augmented Dickey-Fuller</dd>
 <dt>bsadf_cv:</dt><dd>Backward Supremum Augmented Dickey-Fuller</dd>
 <dt>gsadf_cv:</dt><dd>Generalized Supremum Augmented Dickey Fuller</dd></dl>

Format

A dataset containing simulated critical values for up to 700 observations
based on default minimum window. The critical values have been simulated and
stored as data to save computation time for the user. Critical values can be also
obtained with the <code><a rd-options='=mc_cv' href='mc_cv()'>mc_cv()</a></code> function.

crit: Simulated Monte Carlo critical values

Description

Usage

Arguments

Format