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Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods

  • Jun NagayasuEmail author
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Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 27)

Abstract

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.

Keywords

Rational bubbles Mild bubbles Explosive bubbles Threshold autoregressive distributed lag model Stationarity 

JEL Classification

E1 G1 

Notes

Acknowledgements

The earlier version of this paper was presented at the annual meeting of the Nippon Finance Association. I modified and extended the conference paper (Nagayasu 2016) substantially. I would like to thank Naoya Katayama and the conference participants for constructive comments. However, all remaining errors are mine.

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© Springer Nature Switzerland AG 2021

Authors and Affiliations

  1. 1.Graduate School of Economics and ManagementTohoku UniversitySendai-cityJapan

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