Investigating regional house price convergence in the United States: Evidence from a pair-wise approach
In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections...
Autores Principales: | , , |
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Formato: | Artículo (Article) |
Lenguaje: | Inglés (English) |
Publicado: |
2011
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Materias: | |
Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23887 https://doi.org/10.1016/j.econmod.2011.06.015 |
Sumario: | In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance. © 2011 Elsevier B.V. |
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