Sequential Monitoring of Changes in Housing Prices

02/10/2020
by   Lajos Horváth, et al.
0

We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector and a suitably chosen boundary function. If the detector crosses the boundary function, a structural break is detected. We provide the asymptotics for the procedure under the stability null hypothesis and the stopping time under the change point alternative. Monte Carlo simulation is used to show the size and the power of our method under several conditions. We study the real estate markets in Boston, Los Angeles and at the national U.S. level. We find structural breaks in the markets, and we segment the data into stationary segments. It is observed that the autoregressive parameter is increasing but stays below 1.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
08/05/2020

Sequential change point test in the presence of outliers

In this study, we consider a problem of monitoring parameter changes par...
research
12/13/2021

Sequential Break-Point Detection in Stationary Time Series: An Application to Monitoring Economic Indicators

Monitoring economic conditions and financial stability with an early war...
research
03/26/2020

Sequential monitoring for cointegrating regressions

We develop monitoring procedures for cointegrating regressions, testing ...
research
03/05/2020

Backward CUSUM for Testing and Monitoring Structural Change

It is well known that the conventional CUSUM test suffers from low power...
research
10/04/2019

Automating Data Monitoring: Detecting Structural Breaks in Time Series Data Using Bayesian Minimum Description Length

In modern business modeling and analytics, data monitoring plays a criti...
research
04/30/2021

Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation

In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Reali...

Please sign up or login with your details

Forgot password? Click here to reset