TY - JOUR
T1 - Investigating regional house price convergence in the United States
T2 - Evidence from a pair-wise approach
AU - Holmes, Mark J.
AU - Otero, Jesús
AU - Panagiotidis, Theodore
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2011/11
Y1 - 2011/11
N2 - 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.
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.
UR - http://www.scopus.com/inward/record.url?scp=79961114348&partnerID=8YFLogxK
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U2 - 10.1016/j.econmod.2011.06.015
DO - 10.1016/j.econmod.2011.06.015
M3 - Article
AN - SCOPUS:79961114348
SN - 0264-9993
VL - 28
SP - 2369
EP - 2376
JO - Economic Modelling
JF - Economic Modelling
IS - 6
ER -