{"id":32199357,"url":"https://github.com/kvasilopoulos/exuber","last_synced_at":"2025-10-22T03:14:13.460Z","repository":{"id":56935363,"uuid":"117125953","full_name":"kvasilopoulos/exuber","owner":"kvasilopoulos","description":"Econometric Analysis of Explosive Time Series","archived":false,"fork":false,"pushed_at":"2025-09-19T07:32:37.000Z","size":80039,"stargazers_count":29,"open_issues_count":3,"forks_count":10,"subscribers_count":3,"default_branch":"master","last_synced_at":"2025-09-19T09:36:43.252Z","etag":null,"topics":["dickey-fuller","explosive-dynamics","simulation","time-series"],"latest_commit_sha":null,"homepage":"https://kvasilopoulos.github.io/exuber/","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-3.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/kvasilopoulos.png","metadata":{"files":{"readme":"README.Rmd","changelog":"NEWS.md","contributing":".github/CONTRIBUTING.md","funding":null,"license":"LICENSE","code_of_conduct":".github/CODE_OF_CONDUCT.md","threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":".github/SUPPORT.md","governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2018-01-11T16:43:48.000Z","updated_at":"2025-08-31T20:14:45.000Z","dependencies_parsed_at":"2023-02-19T01:46:12.722Z","dependency_job_id":"b674283f-d225-4838-ad1b-c905444e7f2f","html_url":"https://github.com/kvasilopoulos/exuber","commit_stats":{"total_commits":460,"total_committers":5,"mean_commits":92.0,"dds":"0.15869565217391302","last_synced_commit":"b467f7d35999d0c5948ac6c18975b9ae766ddb80"},"previous_names":[],"tags_count":7,"template":false,"template_full_name":null,"purl":"pkg:github/kvasilopoulos/exuber","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/kvasilopoulos%2Fexuber","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/kvasilopoulos%2Fexuber/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/kvasilopoulos%2Fexuber/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/kvasilopoulos%2Fexuber/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/kvasilopoulos","download_url":"https://codeload.github.com/kvasilopoulos/exuber/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/kvasilopoulos%2Fexuber/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":280371868,"owners_count":26319520,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","status":"online","status_checked_at":"2025-10-22T02:00:06.515Z","response_time":63,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["dickey-fuller","explosive-dynamics","simulation","time-series"],"created_at":"2025-10-22T03:14:11.612Z","updated_at":"2025-10-22T03:14:13.453Z","avatar_url":"https://github.com/kvasilopoulos.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"---\noutput:\n  github_document:\n    html_preview: true\n---\n\n\u003c!-- README.md is generated from README.Rmd. Please edit that file --\u003e\n\n```{r, echo = FALSE}\nknitr::opts_chunk$set(\n  collapse = TRUE,\n  comment = \"#\u003e\",\n  fig.path = \"man/figures/\"\n)\n```\n\n# exuber \u003ca href='https://kvasilopoulos.github.io/exuber/'\u003e\u003cimg src='man/figures/logo.png' align=\"right\" height=\"127.5\" /\u003e\u003c/a\u003e\n\n\u003c!-- badges: start --\u003e\n[![CRAN status](https://www.r-pkg.org/badges/version/exuber)](https://CRAN.R-project.org/package=exuber)\n[![Project Status: Active – The project has reached a stable, usable state and is being actively developed.](https://www.repostatus.org/badges/latest/active.svg)](https://www.repostatus.org/#active)\n[![Lifecycle: stable](https://img.shields.io/badge/lifecycle-stable-brightgreen.svg)](https://lifecycle.r-lib.org/articles/stages.html#stable)\n[![R-CMD-check](https://github.com/kvasilopoulos/exuber/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/kvasilopoulos/exuber/actions/workflows/R-CMD-check.yaml)\n[![Codecov test coverage](https://codecov.io/gh/kvasilopoulos/exuber/graph/badge.svg)](https://app.codecov.io/gh/kvasilopoulos/exuber)\n\u003c!-- badges: end --\u003e\n\n\nTesting for and dating periods of explosive dynamics (exuberance) in time series \nusing the univariate and panel recursive unit root tests proposed by [Phillips et al. (2015)](https://doi.org/10.1111/iere.12132) and [Pavlidis et al. (2016)]( https://doi.org/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.\n\n### Overview\n\nTesting for explosive dynamics is comprised of two distinct parts :\n\n* Estimation\n* Critical Values\n\n**Some Context:** Conventional testing techniques compute critical values,and p-values from a standard distribution, where the user does not need to specify critical values explicitly. However, the recent literature in explosive dynamics require the use of non-standard distributions, which require the use of techniques that sample empirical distributions in order to calculate the critical values.\n\n#### Estimation \n\nThe cornerstone function of the package is:\n\n* `radf()`: Recursive Augmented Dickey-Fuller Test.\n\nThis function offers a vectorized estimation (i.e. single and/or multiple time-series)\nfor individual and panel estimation. The estimation can parse data from multiple classes and handle dates as index.\n\n#### Critical Values\n\nThere are several options for generating critical values:\n\n* `radf_mc_cv()`: Monte Carlo\n* `radf_wb_cv()`: Wild Bootstrap\n* `radf_sb_cv()`: Sieve Bootstrap (Panel)\n\nOn default `exuber` will use Monte Carlo simulated critical values if no other option is provided. The package offers these critical values in the form of `data` (up to 600 observations), that are obtained with the `mc_cv()` function.\n\n### Analysis\n\nFor the analysis you should include both the output from estimation (`object`) and critical values (`cv`). The below methods break the process into small simple steps:\n\n* `summary()` summarizes the model.\n* `diagnostics()` shows which series reject the null hypothesis .\n* `datestamp()` computes the origination, termination and duration of episodes (if any).\n\nThese combined provide a comprehensive analysis on the exuberant behavior of the model.\n\n### Installation\n\n```{r installation, eval = FALSE}\n# Install release version from CRAN\ninstall.packages(\"exuber\")\n```\n\nYou can install the development version of exuber from GitHub.\n\n```{r installation-dev, eval = FALSE}\n# install.packages(\"devtools\")\ndevtools::install_github(\"kvasilopoulos/exuber\")\n```\n\nIf you encounter a clear bug, please file a reproducible example on [GitHub](https://github.com/kvasilopoulos/exuber/issues).\n\n\n### Usage\n\n\n```{r usage}\n\nlibrary(exuber)\n\nrsim_data \u003c- radf(sim_data)\n\nsummary(rsim_data)\n\ndiagnostics(rsim_data)\n\ndatestamp(rsim_data)\n\nautoplot(rsim_data)\n\n```\n\n---\n\n Please note that the 'exuber' project is released with a [Contributor Code of Conduct](https://kvasilopoulos.github.io/exuber/CODE_OF_CONDUCT). By contributing to this project, you agree to abide by its terms.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fkvasilopoulos%2Fexuber","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fkvasilopoulos%2Fexuber","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fkvasilopoulos%2Fexuber/lists"}