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Measuring the diffusion of housing prices across space and over time: Replication and further evidence*

* This paper is a replication of an original study

Author

Listed:
  • Shulin Shen
  • Jindong Pang

Abstract

Brady (Journal of Applied Econometrics, 2011, 26(2), 213–231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the impulse response functions using a spatial autoregressive model (SAR). This paper replicates Brady's empirical results, but reports different SAR test statistics. Additional robustness checks are conducted by analyzing three different housing price indexes covering a more extensive period. Analysis shows that the model specifications and model estimates vary with the housing price indexes.

Suggested Citation

  • Shulin Shen & Jindong Pang, 2018. "Measuring the diffusion of housing prices across space and over time: Replication and further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 479-484, April.
  • Handle: RePEc:wly:japmet:v:33:y:2018:i:3:p:479-484
    DOI: 10.1002/jae.2607
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    Citations

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    Cited by:

    1. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    2. Jeffrey P. Cohen & Cletus C. Coughlin & Daniel Soques, 2019. "House Price Growth Interdependencies and Comovement," Working Papers 2019-028, Federal Reserve Bank of St. Louis, revised 11 Jan 2021.

    Replication

    This item is a replication of:
  • Ryan R. Brady, 2011. "Measuring the diffusion of housing prices across space and over time," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 213-231, March.
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