Testing for exuberance in house prices using data sampled at different frequencies

Jesus Otero, Theodore Panagiotidis and Georgios Papapanagiotou

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We undertake Monte Carlo simulation experiments to examine the effect of changing the frequency of observations and the data span on the Phillips, Shi, and Yu (2015) Generalised Supremum ADF (GSADF) test for explosive behaviour via Monte Carlo simulations. We find that when a series is characterised by multiple bubbles (periodically collapsing), decreasing the frequency of observations is associated with profound power losses for the test. We illustrate the effects of temporal aggregation by examining two real house price data bases, namely the S&P Case-Shiller real house prices and the international real house price indices available at the Federal Reserve Bank of Dallas.

Keywords: Exuberant/explosive behaviour; bubbles; Monte Carlo; house prices (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Date: 2021-07
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:21-13

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