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

被引：68
|
作者：
Holmes, Mark J. [1 ]
Otero, Jesus [2 ]
Panagiotidis, Theodore [3 ]
机构：
[1] Univ Waikato, Dept Econ, Hamilton, New Zealand
[2] Univ Rosario, Fac Econ, Rosario, Colombia
[3] Univ Macedonia, Dept Econ, Thessaloniki, Greece
来源：
ECONOMIC MODELLING | 2011年 / 28卷 / 06期
关键词：
Panel data; Cross-section dependence; Pair-wise approach; House prices; Convergence; TIME-SERIES; ROOT TESTS; PANEL-DATA; GROWTH; WEALTH;
D O I：
10.1016/j.econmod.2011.06.015
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) arid 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. (C) 2011 Elsevier B.V. All rights reserved.
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页码：2369 / 2376
页数：8
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