We analyze an empirically important issue with recursive right-tailed unit root tests for bubblesin asset prices. First, we show that serially correlated innovations, which is a feature thatis present in most financial series used to test for bubbles, can lead to severe size distortionswhen...

We analyze bubble formations in house prices under the COVID-19 pandemic in 382 metropolitan areas in the U.S. with a special attention to the role of population density. We use a robust sieve-bootstrap version of the right-tailed unit root test procedure to identify periods of explosiveness in...