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Testing for exuberance in house prices using data sampled at different frequencies

Author

Listed:
  • Jesús Otero

    (Facultad de Economía, Universidad del Rosario, Colombia)

  • Theodore Panagiotidis

    (Department of Economics, University of Macedonia, Greece; Rimini Centre for Economic Analysis)

  • Georgios Papapanagiotou

    (Department of Economics, University of Macedonia, Greece)

Abstract

We undertake Monte Carlo simulation experiments to examine the effect of changing the frequency of observations and the data span on the Phillips, Shi, and Yu (2015) 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.

Suggested Citation

  • Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:21-13
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    References listed on IDEAS

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    More about this item

    Keywords

    Exuberant/explosive behaviour; bubbles; Monte Carlo; house prices;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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