Econometric Regime Shifts and the US Subprime Bubble
Version of Record online: 28 NOV 2013
Copyright © 2013 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 30, Issue 1, pages 145–169, January/February 2015
How to Cite
2015), Econometric Regime Shifts and the US Subprime Bubble, J. Appl. Econ., 30, pages 145–169, doi: 10.1002/jae.2367(
- Issue online: 28 JAN 2015
- Version of Record online: 28 NOV 2013
- Manuscript Revised: 13 SEP 2013
- Manuscript Received: 19 DEC 2012
- 1996. Bubbles in metropolitan housing markets. Journal of Housing Research 7: 191–207. , .
- 2013. Self-reinforcing effects between housing prices and credit. Journal of Housing Economics 22: 192–212. , .
- 2012. Credit, housing collateral and consumption: evidence from the UK, Japan and the US. Review of Income and Wealth 58: 397–423. , , , , .
- 1996. OFHEO house price indexes: HPI technical description. Note, Office of Federal Housing Enterprise Oversight, Washington, DC. .
- 1987. Prices of single-family homes since 1970: new indexes for four cities. New England Economic Review: September/October: 45–56. , .
- 2011. Evaluating automatic model selection. Journal of Time Series Econometrics 3: 1–33. , , .
- 2012. Model selection when there are multiple breaks. Journal of Econometrics 169: 239–246. , , .
- 2011. Was there a U.S. house price bubble? An econometric analysis using national and regional panel data. Quarterly Review of Economics and Finance 51: 189–200. , .
- 2008. Housing capital-gains taxation and homeowner mobility: evidence from the taxpayer relief act of 1997. Journal of Urban Economics 63: 803–815. , .
- 2007. The price and quantity of residential land in the United States. Journal of Monetary Economics 54: 2595–2620. , .
- 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74: 427–431. , .
- 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49: 1057–1072. , .
- 2003. Asymptotic tables for cointegration tests based on the gamma-distribution approximation. Note, Nuffield College, Oxford. .
- 2009. Autometrics. In The Methodology and Practice of Econometrics, Castle JL, Shephard N (eds). Oxford University Press, Oxford; 88–121. .
- 2009. Modelling Dynamic Systems Using PcGive 13, Vol. 2, Timberlake Consultants: London. , .
- 1982. Inflation, housing costs, and the consumer price index. American Economic Review 72: 154–164. , .
- 2011a. House prices and credit constraints: making sense of the US experience. Economic Journal 121: 533–551. , , .
- 2011b. Shifting credit standards and the boom and bust in US home prices, Technical Report 1104. Federal Reserve Bank of Dallas. , , .
- 1987. Co-integration and error correction: representation, estimation and testing. Econometrica 55: 251–276. , .
- 2002. Distributions of error correction tests for cointegration. Econometrics Journal 5: 285–318. , .
- 2012. Why did so many people make so many ex post bad decisions? The causes of the foreclosure crisis, Working Paper 18082, National Bureau of Economic Research. , , .
- 2006. The long-run relationship between house prices and income: evidence from local housing markets. Real Estate Economics 34: 417–438. .
- 2008. The long-run relationship between house prices and rents. Real Estate Economics 36: 635–658. .
- 2006. Recent house price developments: the role of fundamentals. OECD Economics Department Working Papers 475. , , , .
- 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37: 424–438. .
- 1986. Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48: 213–228. .
- 1991. Some recent generalizations of cointegration and the analysis of long-run relationships. In Long-Run Economic Relationships, Engle R, Granger CWJ (eds). Oxford University Press, Oxford; 276–287. .
- 1991. Long memory series with attractors. Oxford Bulletin of Economics and Statistics 53: 11–26. , .
- 1974. Spurious regression in econometrics. Journal of Econometrics 2: 111–120. , .
- 1998. Asymptotic inference on cointegrating rank in partial systems. Journal of Business and Economic Statistics 16: 388–399. , , , .
- 2010. The mortgage finance bubble: causes and corrections. Journal of Housing Research 19: 1–16. , , .
- 2008. Automatic selection of indicators in a fully saturated regression. Computational Statistics 33: 317–335. , , .
- 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12: 231–254. .
- 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59: 1551–1580. .
- 1994. Testing weak exogeneity and the order of cointegration in U.K. money demand data. In Testing Exogeneity, Ericsson N, Irons JS (eds). Oxford University Press, Oxford; 121–143. .
- 1995. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press: Oxford. .
- 2009. An analysis of the indicator saturation estimator as a robust regression estimator. In The Methodology and Practice of Econometrics, Castle JL, Shepard N (eds). Oxford University Press, Oxford; 1–36. , .
- 2007. Housing IS the business cycle. Housing, Housing Finance, and Monetary Policy. Proceedings Federal Reserve Bank of Kansas City; 149–233. .
- 1999. A simple error correction model of house prices. Journal of Housing Economics 8: 27–62. .
- 2004. Are home prices the next ‘bubble’?. Economic policy review, Federal Reserve Bank of New York. , .
- 1990. The removal of mortgage market constraints and the implications for econometric modelling of UK house prices. Oxford Bulletin of Economics and Statistics 52: 1–23. .
- 2001. Modelling Spatial Housing Markets: Theory, Analysis and Policy, Kluwer Academic Publishers: Boston, MA. .
- 2002. The time-series behavior of house prices: a transatlantic divide? Journal of Housing Economics 11: 1–23. .
- 1998. On the aggregate housing market implications of labour market change. Scottish Journal of Political Economy 45: 393–419. , .
- 2009a. Do house prices reflect fundamentals? Aggregate and panel data evidence. Journal of Housing Economics 18: 140–149. , .
- 2009b. Testing for bubbles in housing markets: a panel data approach. Journal of Real Estate Finance and Economics 38: 366–386. , .
- 1997. Booms and busts in the UK housing market. Economic Journal 107: 1701–1727. , .
- 2007. A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics 22: 265–312. .
- 1987. Time series regression with a unit root. Econometrica 55: 277–301. .
- 1988. Testing for a unit root in time series regression. Biometrika 75: 335–346. , .
- 1990. Symposium on bubbles. Journal of Economic Perspectives 4: 13–18. .
- 1969. A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking 1: 15–29. .
- 2010. Testing for cointegration between house prices and economic fundamentals. Real Estate Economics 38: 599–632. .