Discussion Paper

No. 2017-44 | July 13, 2017
Date-stamping US housing market explosivity


In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, 2013), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson’s (Efficient Test of Nonstationary Hypotheses, 1994) test statistic, comparing the null of a unit root process against the alternative of speced orders of fractional integration. The analysis date-stamps several periods of US house price explosivity, allowing us to contextualize its historic relevance.

Data Set

  • US.tab
    [text/tab-separated-values, 4K]

JEL Classification:

C22, G15, G14


  • Downloads: 279


Cite As

Mehmet Balcilar, Nico Katzke, and Rangan Gupta (2017). Date-stamping US housing market explosivity. Economics Discussion Papers, No 2017-44, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2017-44

Comments and Questions

Anonymous - Referee Report 1
August 28, 2017 - 09:05

see attached file

Anonymous - Referee Report 2
September 19, 2017 - 08:22

see attached file