使用不同频率采样的数据测试房价的繁荣

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-08-09 DOI:10.1515/snde-2021-0030

Jesús Otero, Theodore Panagiotidis, Georgios Papapanagiotou

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引用次数: 1

摘要

摘要我们进行了蒙特卡罗模拟实验，以检验改变观测频率和数据跨度对Phillips、P.C.B.、S.Shi和J.Yu的影响。2015年。“多重泡沫测试：标准普尔500指数暴涨和暴跌的历史事件”。《国际经济评论》56（4）：1043–78通过蒙特卡洛模拟对爆炸行为进行的广义最高ADF（GSADF）测试。我们发现，当一个系列的特征是多个气泡（周期性坍塌）时，观察频率的降低与测试的巨大功率损失有关。我们通过检查两个实际房价数据库来说明时间聚合的影响，即标准普尔案例-希勒实际房价和达拉斯联邦储备银行提供的国际实际房价指数。

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

Abstract We undertake Monte Carlo simulation experiments to examine the effect of changing the frequency of observations and the data span on the Phillips, P. C. B., S. Shi, and J. Yu. 2015. “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500.” International Economic Review 56 (4): 1043–78 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.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.