Comovements among U.S. state housing prices: Evidence from fractional cointegration
AbstractThis 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 InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 29 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/30411
U.S. state housing prices; Persistence; Long memory; Fractional cointegration;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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