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Investigating Regional House Price Convergence in the United States: Evidence from a pair-wise approach

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Abstract

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance.

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Paper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2011_12.

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Date of creation: Jun 2011
Date of revision: Jun 2011
Handle: RePEc:mcd:mcddps:2011_12

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Web page: http://www.uom.gr/index.php?tmima=3

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Keywords: Panel data; cross-section dependence; pair-wise approach; house prices; convergence.;

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Cited by:
  1. Nicholas Apergis & James Payne, 2012. "Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure," Letters in Spatial and Resource Sciences, Springer, Springer, vol. 5(2), pages 103-111, July.
  2. Goodness C. Aye & Samrat Goswami & Rangan Gupta, 2012. "Metropolitan House Prices In India: Do They Converge?," Working Papers, University of Pretoria, Department of Economics 201220, University of Pretoria, Department of Economics.
  3. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach," Working Papers, University of Pretoria, Department of Economics 201359, University of Pretoria, Department of Economics.
  4. Aye, G.C. & Goswami, S. & Gupta, R., 2013. "Metropolitan House Prices In Regions of India: Do They Converge?," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 13(1), pages 135-144.
  5. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, Elsevier, vol. 29(3), pages 936-942.
  6. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013. "Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure," Working Papers, University of Pretoria, Department of Economics 201322, University of Pretoria, Department of Economics.

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