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Comovements among U.S. state housing prices: Evidence from fractional cointegration

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  • Barros, Carlos Pestana
  • Gil-Alana, Luis A.
  • Payne, James E.

Abstract

This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegrating relations between U.S. states housing prices and the overall U.S. housing prices as well as among state housing prices. The results raise doubts regarding the long-run convergence in U.S. state housing prices and the presence of the ripple effect.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 29 (2012)
Issue (Month): 3 ()
Pages: 936-942

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Handle: RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: U.S. state housing prices; Persistence; Long memory; Fractional cointegration;

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References

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Cited by:
  1. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
  2. Matos, Pedro Verga & Faustino, Horácio C., 2012. "Beta-convergence and sigma-convergence in corporate governance in Europe," Economic Modelling, Elsevier, vol. 29(6), pages 2198-2204.
  3. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach," Working Papers 201359, University of Pretoria, Department of Economics.

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