Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries

被引：5

作者：

Gueye, Ghislain Nono ^{[1
]}

机构：

[1] Louisiana Tech Univ, 502 West Texas Ave,Off 329, Ruston, LA 71270 USA

来源：

JOURNAL OF HOUSING ECONOMICS | 2021年 / 51卷

关键词：

Housing prices; Macroeconomy; Cointegration; Vector error-correction; PANEL-DATA; REGRESSION; INFERENCE; BUBBLES; MARKET; IMPACT; TESTS;

D O I：

10.1016/j.jhe.2021.101748

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We use data from 20 OECD countries to show strong evidence for the existence of cross-section dependence in international housing prices. This structural relationship is important to consider when studying housing prices panels. First, we implement first-generation tests (tests which assume cross-section independence) and find no evidence for stationarity or cointegration. However, we find strong evidence for stationarity and cointegration when we employ second-generation tests (tests which assume cross-section dependence). The spurious results of the former tests may lead researchers on housing prices dynamics to inaccurate conclusions with the potential to ill-inform policy-makers.

引用

页数：14

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