The Timeline Estimation of Bubbles: The Case of Real Estate

  title={The Timeline Estimation of Bubbles: The Case of Real Estate},
  author={Frank J. Fabozzi and Keli Xiao},
  journal={Urban Economics \& Regional Studies eJournal},
  • F. Fabozzi, K. Xiao
  • Published 10 June 2018
  • Economics
  • Urban Economics & Regional Studies eJournal
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… 
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