Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods

Jun Nagayasu

A chapter in Recent Econometric Techniques for Macroeconomic and Financial Data, 2021, pp 79-111 from Springer

Abstract: Abstract We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in J. Appl. Econom. 16(3):289–326, 2001) to investigate rational price bubbles. Furthermore, by introducing nonlinearity into the autoregressive distributed lag model, we modify the bounds test to be more suitable for bubble analyses.

Keywords: Rational bubbles; Mild bubbles; Explosive bubbles; Threshold autoregressive distributed lag model; Stationarity (search for similar items in EconPapers)
JEL-codes: E1 G1 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-030-54252-8_4

Ordering information: This item can be ordered from
http://www.springer.com/9783030542528

DOI: 10.1007/978-3-030-54252-8_4

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().