Date-stamping US housing market explosivity
Mehmet Balcilar (),
Nico Katzke and
Rangan Gupta ()
No 2017-44, Economics Discussion Papers from Kiel Institute for the World Economy (IfW)
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 sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, 2013), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson's (Efficient Test of Nonstationary Hypotheses, 1994) test statistic, comparing the null of a unit root process against the alternative of speced orders of fractional integration. The 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; recursive process (search for similar items in EconPapers)
JEL-codes: C22 G15 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his and nep-ure
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Journal Article: Date-stamping US housing market explosivity (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201744
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