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: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2011 |
| País: | Colombia |
| Institución: | Universidad del Rosario |
| Repositorio: | Repositorio EdocUR - U. Rosario |
| Idioma: | inglés |
| OAI Identifier: | oai:repository.urosario.edu.co:10336/23887 |
| Acceso en línea: | https://doi.org/10.1016/j.econmod.2011.06.015 https://repository.urosario.edu.co/handle/10336/23887 |
| Access Level: | acceso abierto |
| Palabra clave: | Convergence Cross-section dependence House prices Pair-wise approach Panel data |
| 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. |
|---|