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Working Paper
exuber: Recursive Right-Tailed Unit Root Testing with R
This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that ...
Taking the Global Housing Market’s Temperature: Is It Running a Fever (Again)?
The current trajectory prompts the question: Do markets face the prospect of a housing bubble once again? Alternatively, are price increases in step with housing market fundamentals?
Real-time house price model shows U.S. housing market firming
House prices matter to more than just individual homebuyers and sellers. They are closely tied to consumer spending, business investment and the broader path of the economy.