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Date-stamping US housing market explosivity

dc.contributor.authorBalcilar, Mehmeten_ZA
dc.contributor.authorKatzke, Nicoen_ZA
dc.contributor.authorGupta, Ranganen_ZA
dc.date.accessioned2019-09-03T07:51:09Z
dc.date.available2019-09-03T07:51:09Z
dc.date.issued2018
dc.identifier.citationBalcilar, M., Katzke, N., Gupta, R. 2018.Date-stamping US housing market explosivity. Economics, 12, doi:10.5018/economics-ejournal.ja.2018-18.
dc.identifier.issn1864-6042 (online)
dc.identifier.otherdoi:10.5018/economics-ejournal.ja.2018-18
dc.identifier.urihttp://hdl.handle.net/10019.1/106415
dc.descriptionCITATION: Balcilar, M., Katzke, N., Gupta, R. 2018.Date-stamping US housing market explosivity. Economics, 12, doi:10.5018/economics-ejournal.ja.2018-18.
dc.descriptionThe original publication is available at http://www.economics-ejournal.org
dc.description.abstractIn 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.en_ZA
dc.description.urihttp://www.economics-ejournal.org/economics/discussionpapers/2017-44
dc.format.extent34 pages ; illustrations
dc.language.isoen_ZAen_ZA
dc.publisherLeibniz Association
dc.subjectTime-series analysisen_ZA
dc.subjectReal estate business -- United States -- Statistical methodsen_ZA
dc.titleDate-stamping US housing market explosivityen_ZA
dc.typeArticleen_ZA
dc.description.versionPublisher's version
dc.rights.holderAuthors retain copyright


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