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

Mark J. Holmes; Jesús Otero; Theodore Panagiotidis

doi:10.1016/j.econmod.2011.06.015

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

Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

Faculty of Economics

Research output: Contribution to journal › Research Article › peer-review

91 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 language	English (US)
Pages (from-to)	2369-2376
Number of pages	8
Journal	Economic Modelling
Volume	28
Issue number	6
DOIs	https://doi.org/10.1016/j.econmod.2011.06.015
State	Published - Nov 2011

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/j.econmod.2011.06.015

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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.",

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AB - 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.

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ER -

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

Abstract

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