Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/1748
Title: | Testing for exuberance in house prices using data sampled at different frequencies |
Authors: | Otero, Jesús Panagiotidis, Theodore Papapanagiotou, Georgios |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Economics FRASCATI::Social sciences::Economics and Business::Econometrics |
Keywords: | Monte Carlo house prices bubbles explosive behaviour |
Issue Date: | 9-Aug-2021 |
Publisher: | De Gruyter |
Source: | Studies in Nonlinear Dynamics & Econometrics |
Volume: | 26 |
Issue: | 5 |
First Page: | 675 |
Last Page: | 691 |
Abstract: | We undertake Monte Carlo simulation experiments to examine the effect of changing the frequency of observations and the data span on the Phillips, P. C. B., S. Shi, and J. Yu. 2015. “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500.” International Economic Review 56 (4): 1043–78 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. |
URI: | https://doi.org/10.1515/snde-2021-0030 https://ruomo.lib.uom.gr/handle/7000/1748 |
ISSN: | 1558-3708 |
Other Identifiers: | 10.1515/snde-2021-0030 |
Appears in Collections: | Department of Economics |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.