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The Timeline Estimation of Bubbles: The Case of Real Estate
Author(s) -
Fabozzi Frank J.,
Xiao Keli
Publication year - 2018
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.12246
Subject(s) - timeline , estimator , initialization , econometrics , bubble , estimation , reliability (semiconductor) , economics , real estate , computer science , process (computing) , statistics , mathematics , finance , physics , power (physics) , management , quantum mechanics , parallel computing , programming language , operating system
We develop and then apply a new recursive regression methodology with a two‐direction searching process for initialization. The methodology improves the reliability of existing models when estimating a bubble's timeline. We apply our proposed methodology to estimate bubbles in U.S. home prices as well as in simulated scenarios. Our results confirm the improvement in reliability of the proposed methodology in obtaining consistent estimators with varying samples. Moreover, we verify the presence of bubbles in the U.S. aggregate data and seven of the eight cities in our study prior to the subprime crisis and find evidence of the bubble's reemergence since October 2013.