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Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …
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Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …
Persistent link: https://www.econbiz.de/10011812671
We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...
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