exuber

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.