Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach

Serie

• Discussion Paper Series

Resumen

• 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.

autores

• Holmes, Mark
• Otero, Jesús
• Panagiotidis, Theodore

fecha de publicación

• 2011-06

Área temática

• C2 - Modelos uniecuacionales; variables simples
• C3 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples
• R1 - Economía regional general
• R2 - Análisis de las economías domésticas
• R3 - Mercados inmobiliarios, análisis de la producción espacial y localización empresarial

Enfoque geográfico

• North America  Continent
• United States of America  Country

Líneas de investigación

• Convergence
• Cross-Section Dependence
• House Prices
• Pair-Wise Approach
• Panel Data

Issue

• 2011_12