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Spatial error correction and cointegration in nonstationary panel data: regional house prices in Israel

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  • Michael Beenstock
  • Daniel Felsenstein

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10109-010-0114-8
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Bibliographic Info

Article provided by Springer in its journal Journal of Geographical Systems.

Volume (Year): 12 (2010)
Issue (Month): 2 (June)
Pages: 189-206

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Handle: RePEc:kap:jgeosy:v:12:y:2010:i:2:p:189-206

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Web page: http://www.springerlink.com/link.asp?id=103079

Related research

Keywords: Panel cointegration; Spatial panel data; Error correction; Regional house prices; C21; C33; R21;

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References

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  1. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  2. Holly, S. & Pesaran, M.H. & Yamagata. T., 2006. "A Spatio-Temporal Model of House Prices in the US," Cambridge Working Papers in Economics 0654, Faculty of Economics, University of Cambridge.
  3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
  4. Badi H. Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: The Case of Liquor," Center for Policy Research Working Papers 84, Center for Policy Research, Maxwell School, Syracuse University.
  5. Stephen Malpezzi, 1998. "A Simple Error Correction Model of House Prices," Wisconsin-Madison CULER working papers 98-11, University of Wisconsin Center for Urban Land Economic Research.
  6. Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2006. "Panel Unit Root Tests and Spatial Dependence," Center for Policy Research Working Papers 88, Center for Policy Research, Maxwell School, Syracuse University.
  7. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  8. Michael Beenstock & Daniel Felsenstein, 2007. "Spatial Vector Autoregressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 2(2), pages 167-196.
  9. Joshua Gallin, 2003. "The long-run relationship between house prices and income: evidence from local housing markets," Finance and Economics Discussion Series 2003-17, Board of Governors of the Federal Reserve System (U.S.).
  10. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
  11. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
  12. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 7-26.
  13. Cameron, Gavin & Muellbauer, John & Murphy, Anthony, 2006. "Was There a British House Price Bubble? Evidence from a Regional Panel," CEPR Discussion Papers 5619, C.E.P.R. Discussion Papers.
  14. Lee, Lung-fei, 2007. "GMM and 2SLS estimation of mixed regressive, spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 137(2), pages 489-514, April.
  15. Bar-Nathan, Moshe & Beenstock, Michael & Haitovsky, Yoel, 1998. "The market for housing in Israel," Regional Science and Urban Economics, Elsevier, vol. 28(1), pages 21-49, January.
  16. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  17. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  18. Smith, Lawrence B, 1969. "A Model of the Canadian Housing and Mortgage Markets," Journal of Political Economy, University of Chicago Press, vol. 77(5), pages 795-816, Sept./Oct.
  19. Gengenbach,Christian & Palm,Franz C. & Urbain,Jean-Pierre, 2005. "Panel Cointegration Testing in the Presence of Common Factors," Research Memorandum 050, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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Citations

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Cited by:
  1. Mitze, Timo, 2011. "Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus," Investigaciones Regionales, Asociación Española de Ciencia Regional, issue 21, pages 93-118.
  2. Selin Özyurt & Timo Mitze, 2012. "The Spatial Dimension of Trade- and FDI-driven Productivity Growth in Chinese Provinces – A Global Cointegration Approach," Ruhr Economic Papers 0308, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  3. Badi Baltagi & Francesco Moscone & Elisa Tosetti, 2012. "Medical technology and the production of health care," Empirical Economics, Springer, vol. 42(2), pages 395-411, April.
  4. Michael Beenstock & Daniel Felsenstein & Nadav Ben Zeev, 2011. "Capital deepening and regional inequality: an empirical analysis," The Annals of Regional Science, Springer, vol. 47(3), pages 599-617, December.
  5. Stilianos Alexiadis & Daniel Felsenstein, 2012. "The Flexible Accelerator Model and the ‘Regionalization’ of Capital Stock Estimates," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(1), pages 39-44, June.
  6. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.

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