The Timeline Estimation of Bubbles: The Case of Real Estate
提出一种新的递归回归方法，通过双向搜索初始化提高泡沫时间线估计的可靠性，应用于美国房价数据，验证了次贷危机前泡沫的存在及2013年10月后的重新出现。
Abstract 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.