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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22482.
Date of creation: 04 May 2010
Date of revision:
Purchasing power parity; Price level convergence; Half-life; Multiple structural breaks; Pairwise convergence.;
Other versions of this item:
- Syed Basher & Josep Carrion-i-Silvestre, 2011. "Measuring persistence of U.S. city prices: new evidence from robust tests," Empirical Economics, Springer, Springer, vol. 41(3), pages 739-745, December.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-15 (All new papers)
- NEP-GEO-2010-05-15 (Economic Geography)
- NEP-MAC-2010-05-15 (Macroeconomics)
- NEP-URE-2010-05-15 (Urban & Real Estate Economics)
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.:
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