Investigating regional house price convergence in the United States: Evidence from a pair-wise approach

Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

Research output: Contribution to journalArticlepeer-review

55 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)2369-2376
Number of pages8
JournalEconomic Modelling
Volume28
Issue number6
DOIs
StatePublished - Nov 2011

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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