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A multivariate unobserved component analysis of US housing market

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Author Info
Mohamadou Fadiga ()
Yongsheng Wang ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s12197-008-9027-5
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Publisher Info
Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 33 (2009)
Issue (Month): 1 (January)
Pages: 13-26
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Handle: RePEc:spr:jecfin:v:33:y:2009:i:1:p:13-26

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Related research
Keywords: Common Factors; Housing Prices; Kalman Filter; Unobserved Components; State-space; E30; G0; R31;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. G. Donald Jud & Dan T. Winkler, 2002. "The Dynamics of Metropolitan Housing Prices," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 29-46. [Downloadable!]
  2. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March. [Downloadable!] (restricted)
    Other versions:
  3. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings, Federal Reserve Bank of Kansas City, pages 149-233. [Downloadable!]
    Other versions:
  4. Gerald Carlino & Keith Sill, 2001. "Regional Income Fluctuations: Common Trends And Common Cycles," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 446-456, August. [Downloadable!] (restricted)
    Other versions:
  5. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August. [Downloadable!] (restricted)
  6. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 247-64, April. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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