Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market

Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recur...

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Main Author: SHI, Shuping
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Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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Online Access:https://ink.library.smu.edu.sg/etd_coll/28
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1027&context=etd_coll
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spelling sg-smu-ink.etd_coll-10272011-02-23T06:04:38Z Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market SHI, Shuping Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three methods to test the existence of bubbles in Seoul apartment market and to locate the bubble period if they were present. 2007-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/etd_coll/28 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1027&context=etd_coll http://creativecommons.org/licenses/by-nc-nd/4.0/ Dissertations and Theses Collection (Open Access) eng Institutional Knowledge at Singapore Management University real estate bubble conventional unit root test forward recursive unit root test housing price rental Asian Studies Econometrics Real Estate
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic real estate bubble
conventional unit root test
forward recursive unit root test
housing price
rental
Asian Studies
Econometrics
Real Estate
spellingShingle real estate bubble
conventional unit root test
forward recursive unit root test
housing price
rental
Asian Studies
Econometrics
Real Estate
SHI, Shuping
Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
description Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three methods to test the existence of bubbles in Seoul apartment market and to locate the bubble period if they were present.
format text
author SHI, Shuping
author_facet SHI, Shuping
author_sort SHI, Shuping
title Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
title_short Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
title_full Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
title_fullStr Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
title_full_unstemmed Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market
title_sort moving window unit root test: locating real estate price bubbles in seoul apartment market
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url https://ink.library.smu.edu.sg/etd_coll/28
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1027&context=etd_coll
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