Research method incorporated into standard econometric software


Description of impact

The real-time bubble monitoring strategy proposed by Professor Shi is becoming a standard feature in the econometrician's toolkit judging by its already widespread use by the profession.

An addin for Eviews (a popular econometric software in undergraduate teaching) has been developed by an economist from the Bank of Israel for this procedure. Link to the Eviews addin:

Several R packages have been developed for the real time bubble monitoring strategy:

o Package psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis by Peter C.B. Phillips, Shuping Shi, and Itamar Caspi

o Package exuber: Econometric Analysis of Explosive Time Series by Kostas Vasilopoulos, Efthymios Pavlidis, Simon Spavound, and Enrique Martínez-García

o Package ‘MultipleBubbles’: Test and Detection of Explosive Behaviors for Time Series by Pedro Araujo, Gustavo Lacerda, Peter C.B. Phillips, Shu-Ping Shi
Impact date28 Aug 2015