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

Author

Shuping SHI, Singapore Management UniversityFollow

Publication Type

Master Thesis

Version

publishedVersion

Publication Date

2007

Abstract

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.

Keywords

real estate bubble, conventional unit root test, forward recursive unit root test, housing price, rental

Degree Awarded

MSc in Economics

Discipline

Asian Studies | Econometrics | Real Estate

Supervisor(s)

YU, Jun

Publisher

Singapore Management University

City or Country

Singapore

Citation

SHI, Shuping. Moving Window Unit Root Test: Locating Real Estate Price Bubbles in Seoul Apartment Market. (2007).
Available at: https://ink.library.smu.edu.sg/etd_coll/28

Copyright Owner and License

Author

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.