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

• Main Author: SHI, Shuping
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: real estate bubble; conventional unit root test; forward recursive unit root test; housing price; rental; Asian Studies; Econometrics; Real Estate
• 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
• Institution: Singapore Management University

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...