Modeling regional house prices
AbstractWe develop a parsimonious panel model for quarterly regional house prices, for which both the cross-section and the time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and, most importantly, latent-class clustering of regions. Class membership is fully data-driven and based on (i) average growth rates of house prices, (ii) the propagation of shocks to house prices across regions, also known as the ripple effect, and (iii) the relationship of house prices with economic growth and other variables. Applying the model to quarterly data for the Netherlands, we find convincing evidence for the existence of two distinct clusters of regions, with pronounced differences in house price dynamics.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2007-55.
Date of creation: 01 Dec 2007
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cointegration; ripple effect; cross-section dependence;
Other versions of this item:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-GEO-2009-03-28 (Economic Geography)
- NEP-MAC-2009-03-28 (Macroeconomics)
- NEP-URE-2009-03-28 (Urban & Real Estate Economics)
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- S Holly & M Hashem Pesaran & T Yamagata, .
"Spatial and Temporal Diffusion of House Prices in the UK,"
09/32, Department of Economics, University of York.
- Holly, S. & Pesaran, M.H. & Yamagata, T., 2009. "Spatial and Temporal Diffusion of House Prices in the UK," Cambridge Working Papers in Economics 0952, Faculty of Economics, University of Cambridge.
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- Ceren Ozgen & Thomas de Graff, 2013. "Sorting out the impact of cultural diversity on innovative firms. An empirical analysis of Dutch micro-data," Norface Discussion Paper Series 2013012, Norface Research Programme on Migration, Department of Economics, University College London.
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- Maureen B.M. Lankhuizen & Thomas de Graaff & Henri L.F. de Groot, 2012. "Product Heterogeneity, Intangible Barriers and Distance Decay: The Effect of Multiple Dimensions of Distance on Trade across Different Product Categories," Tinbergen Institute Discussion Papers 12-065/3, Tinbergen Institute.
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