Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162809
Authors: 
Balcilar, Mehmet
Katzke, Nico
Gupta, Rangan
Year of Publication: 
2017
Series/Report no.: 
Economics Discussion Papers 2017-44
Abstract: 
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.
Subjects: 
GSADF
bubble
structural breaks
Random Walk
explosivity
recursive process
JEL: 
C22
G15
G14
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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