Date-stamping US housing market explosivity
Mehmet Balcilar (),
Nico Katzke and
Rangan Gupta ()
Economics - The Open-Access, Open-Assessment E-Journal, 2018, vol. 12, No 2018-18, 33 pages
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500, 2011a), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson's test statistic (Efficient tests of nonstationary hypotheses, 1994), comparing the null of a unit root process against the alternative of specified orders of fractional integration. The analysis date-stamps several periods of US house price explosivity, allowing the authors to contextualize its historic relevance.
Keywords: GSADF; bubble; structural breaks; random walk; explosivity; recursive process (search for similar items in EconPapers)
JEL-codes: C22 G15 G14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Date-stamping US housing market explosivity (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:201818
Access Statistics for this article
Economics - The Open-Access, Open-Assessment E-Journal is currently edited by Dennis J. Snower
More articles in Economics - The Open-Access, Open-Assessment E-Journal from Kiel Institute for the World Economy (IfW) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().