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Identifying Periods of US Housing Market Explosivity

Mehmet Balcilar, Nico Katzke () and Rangan Gupta

No 201544, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper we set out to date-stamp periods of US housing price explosivity for the period 1830-2013. We make use of several robust techniques that allow us 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 sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (2013), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson (1994)'s test statistic, comparing the null of a unit root process against the alternative of specified orders of fractional integration. Our analysis date-stamps several periods of US house price explosivity, allowing us to contextualize its historic relevance.

Keywords: GSADF; Bubble; Structural Breaks; Random Walk; Explosivity (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2015-06
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (2)

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