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Further Evidence On The Spatio‐Temporal Model Of House Prices In The United States

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  • Badi H. Baltagi
  • Jing Li

Abstract

SUMMARY Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158 : 160–173) use a panel of 49 states over the period 1975–2003 to show that state‐level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74 (4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the period 1975–2011. Our replication shows that their results are fairly robust to the more geographically refined cross‐section units, and to the updated period of study. Copyright © 2013 John Wiley & Sons, Ltd.

Suggested Citation

  • Badi H. Baltagi & Jing Li, 2014. "Further Evidence On The Spatio‐Temporal Model Of House Prices In The United States," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 515-522, April.
  • Handle: RePEc:wly:japmet:v:29:y:2014:i:3:p:515-522
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    Cited by:

    1. Temple, Jonathan & Van de Sijpe, Nicolas, 2017. "Foreign aid and domestic absorption," Journal of International Economics, Elsevier, vol. 108(C), pages 431-443.
    2. Baltagi, Badi H. & Li, Jing, 2015. "Cointegration of matched home purchases and rental price indexes — Evidence from Singapore," Regional Science and Urban Economics, Elsevier, vol. 55(C), pages 80-88.
    3. repec:spr:lsprsc:v:10:y:2017:i:2:d:10.1007_s12076-016-0177-3 is not listed on IDEAS
    4. repec:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9822-9 is not listed on IDEAS
    5. Márcio Poletti Laurini, 2017. "A continuous spatio-temporal model for house prices in the USA," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 58(1), pages 235-269, January.
    6. Girum D. Abate & Luc Anselin, 2016. "House price fluctuations and the business cycle dynamics," CREATES Research Papers 2016-06, Department of Economics and Business Economics, Aarhus University.

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