Detecting tranquil and bubble periods in housing markets a review and application of statistical methods
We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in J....
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| Veröffentlicht in: | Recent econometric techniques for macroeconomic and financial data |
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| Format: | UnknownFormat |
| Sprache: | eng |
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2021
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Tag hinzufügen | Zusammenfassung: | We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in J. Appl. Econom. 16(3):289–326, 2001) to investigate rational price bubbles. Furthermore, by introducing nonlinearity into the autoregressive distributed lag model, we modify the bounds test to be more suitable for bubble analyses. |
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| ISBN: | 9783030542511 9783030542542 |