Waters, George A.; Payne, James E. - In: Applied Financial Economics 17 (2007) 9, pp. 747-753
This study uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey-Fuller (RADF) approach to test for the presence of Evans' (1991) periodically collapsing bubbles in four real estate investment trusts (REIT) classifications. The RADF test shows evidence of...