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

被引：95

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：

020101 [政治经济学];

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.

引用

页码：2369 / 2376

页数：8

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