Measuring persistence of U.S. city prices: new evidence from robust tests
AbstractThis paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise tests of price level convergence.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 41 (2011)
Issue (Month): 3 (December)
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Other versions of this item:
- Basher, Syed Abul & Carrion-i-Silvestre, Josep Lluis, 2010. "Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests," MPRA Paper 22482, University Library of Munich, Germany.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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- repec:qut:auncer:2013_01 is not listed on IDEAS
- Jayanta Sarkar & Hiranya K. Nath, 2013. "City Relative Price Dynamics in Australia: Are Structural Breaks Important?," Working Papers 1301, Sam Houston State University, Department of Economics and International Business.
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