Payne, James; Waters, George - In: The Journal of Real Estate Finance and Economics 34 (2007) 2, pp. 207-224
This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey–Fuller (RADF) test to examine the possibility of Evans’ (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real...