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Investigating regional house price convergence in the United States: Evidence from a pair-wise approach

  • Holmes, Mark J.
  • Otero, Jesús
  • Panagiotidis, Theodore

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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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 6 ()
Pages: 2369-2376

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:6:p:2369-2376
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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