Brian M. Lucey

Tag: sup-adf

  • Fundamental bubbles in Irish House prices?

    —

    by

    brianmlucey
    in

    So. A gallery of SupADF tests. Who doesnt like some right tailed unit roots of a saturday morning eh? I have blogged on these tests for bubbles before : see here, here, here . I leave you to make your own conclusions…

  • Bubbles in the Dublin Housing Market?

    —

    by

    brianmlucey
    in

    Is there a bubble in the Dublin house market? The latest figures might well give one pause for thought, with a 22% year on year increase, clearly unsustainable. However, this may not be the entire story. A newly developed statistical technique (see here and here for previous posts using it to talk about bubbles in…

  • Bitcoin Bubble(s)

    —

    by

    brianmlucey
    in

    Bitcoin is soaring. I have previously noted a new test (The generalized sup-ADF test of Phillips for the technically minded : see https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2010&paper_id=69 if interested) for bubbles. Applied here we see not one but two bubbles in bitcoin. The shaed series is the test statistic, the light green line its critical value – when the…