Bai, J. and Ng. S. 2004. A panic attack on unit roots and cointegration. Econometrica, 72:1127-1177.
Balcilar, M., Gupta, R. and. Shah, Z. 2011. An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa. Economic Modelling, 28(3):891-899.
- Blanchard, O. and Watson, M. 1983. Bubbles, rational expectations and financial markets. NBER Working Papers 1983.
Paper not yet in RePEc: Add citation now
Busetti, F. and Taylor, A. M. R. 2004. Tests of stationarity against a change in persistence. Journal of Econometrics, 123: 33–66.
- Cameron, G., Muellbauer, J. and Murphy, A. 2006. Was there a British house price bubble? Discussion Paper no. 5619. Centre for Economic Policy Research, London.
Paper not yet in RePEc: Add citation now
- Chen, R.D., Gan, C., Hu, B. and Cohen, D.A. 2005. An empirical analysis of house price bubble: a case study of Beijing housing market. Research in Applied Economics, 5(1): 77-97.
Paper not yet in RePEc: Add citation now
- Choi, I. 2002. Combination unit root tests for cross-sectionally correlated panels. in The Econometric Theory and Practice: Frontiers of Analysis and Applied Research, Essays in Honor of Peter C. B. Phillips. D. Corbae, S.N. Durlauf and B.E. Hansen (eds.). Cambridge University Press, Cambridge, UK, 311-333.
Paper not yet in RePEc: Add citation now
Chortareas, G. and Kapetanios, G. 2009. Getting PPP right: identifying mean-reverting real exchange rates in panels. Journal of Banking and Finance, 33:390-404.
Clark, S.P. and Coggin, D.T. 2011. Was there a U.S. house price bubble? An econometric analysis using national and regional panel data. The Quarterly Review of Economics and Finance, 51: 189–200 Dickey, D.A. and Fuller, W.A. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49:1057-1072.
Diebold, F.X. and Kilian, L. 2000. Unit-root tests are useful for selecting forecasting models. Journal of Business and Economic Statistics, 18, 265-273.
Enders, W. and Lee, J. 2012. A unit root test using a fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4):574-599.
Himmelberg, C. and Mayer, C. 2005. Assessing high house prices: bubbles, fundamentals and misperceptions. Journal of Economic Perspectives, 19(4): 67-92.
- Homm, U. and Breitung, J. 2012. Testing for speculative bubbles in stock markets: A comparison of alternative methods. Journal of Financial Econometrics, 10(1): 198–231.
Paper not yet in RePEc: Add citation now
Im, K. S., Pesaran, M.H. and Shin, Y. 2003. Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115:53-74.
Kapetanios, G., Shin, Y., and Snell, A. 2003. Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22:279–303.
Kim, S. and Bhattacharya, R. 2009. Regional housing prices in the USA: An empirical investigation of nonlinearity. Journal of Real Estate Finance and Economics, 38(4): 443-460.
Lee, J. and Strazicich, M. C. 2004. Minimum LM unit root test with one structural break. Working paper. Department of Economics, Appalachian State University. http://econ.appstate.edu/RePEc/pdf/wp0417.pdf.
Lee, J., and Strazicich, M. C. 2003. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85, 1082–1089.
Levin, A., Lin, C.F. and Chia-Shang Chu. 2002. Unit root in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108:1-24.
- Maddala, G. and Kim, I.-M. 1998. Unit roots, cointegration and structural change, Cambridge University Press, UK.
Paper not yet in RePEc: Add citation now
Maddala, G.S. and Wu, S. 1999. A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61: 631-652.
Mikhed, V. and ZemÄÃk, P. 2009. Testing for bubbles in housing markets: a panel data approach. J Real Estate Finan Econ,38:366–386.
Moon, H. R. and Perron, B. 2004. Testing for a unit root in panels with dynamic factors. Journal of Econometrics, 122:81-126.
Muellbauer, J. and Murphy, A. 1997. Booms and busts in the UK housing market. The Economic Journal, 445:1701-1727.
Nelson, C. R., and Plosser, C. I. 1982. Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10:139-162.
Pavlidis, E., Paya, I. Peel, D. and Spiru, A. 2009. Bubbles in house prices and their impact on consumption: evidence for the US. Lancaster University Management School working paper, no. 025.
Perron, P. 1989. The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57: 1361–401.
Pesaran, M.H. 2004. General diagnostic tests for cross section dependence in panels.
Pesaran, M.H. 2007. A simple unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22:265-312.
- Phillips, P. C. B., and Perron, P. 1988. Testing for a unit root in time series regression. Biometrika, 75:335–346.
Paper not yet in RePEc: Add citation now
Phillips, P. C. B., Y. Wu, and J. Yu. 2011. Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 52(1): 201–226.
Phillips, P.C.B., and Yu, J. 2011, Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2, 455-491.
Ren, Y., Xiong, C. and Yuan, Y. 2012. House price bubbles in China. China Economic Review, 23: 786–800.
- Seslen, N. 2004. Housing price dynamics and household mobility decisions. Seminar Paper,USC Lusk/FBE Real Estate Seminar, September.
Paper not yet in RePEc: Add citation now
- Shen, Y., Hui, E. C., and Liu, H. 2005. Housing price bubble in Beijing and Shanghai. Management Decision, 43(4): 611-627.
Paper not yet in RePEc: Add citation now
Simo-Kengne, B.D., Bittencourt, M. and Gupta, R. 2012. House prices and economicgrowth in South Africa: Evidence from provincial-level data. Journal of Real Estate Literature, 20(1):97-117.
Simo-Kengne, B.D., Bittencourt, M. and Gupta, R. 2013. The impact of house prices on consumption in South Africa: Evidence from provincial-level panel VARs.
Smith, M. H. and Smith, G. 2006. Bubble, bubble, where’s the housing bubble? Brookings Papers on Economic Activity, 1–50.
Ucar, N. and Omay, T. 2009. Testing for unit root in nonlinear heterogeneous panels, Economics Letters, 104:5-8.
Wu, J.L. and Lee, H.Y. 2009. A revisit to the non-linear mean reversion of real exchange rates: evidence from a series-specific non-linear panel unit-root test, Journal of Macroeconomics, 31:591-601.