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US House Prices by Census Division: Persistence, Trends and Structural Breaks

Author

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  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana

Abstract

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above 1 in all cases, and is particularly high for the aggregate series. However, when the possibility of structural breaks is taken into account, segmented trends are detected; the subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases, and the time trend coefficient being at its highest in the last subsample, which in most cases starts around May 2020.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2022. "US House Prices by Census Division: Persistence, Trends and Structural Breaks," CESifo Working Paper Series 10143, CESifo.
  • Handle: RePEc:ces:ceswps:_10143
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp10143.pdf
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    Keywords

    US house prices; fractional integration; persistence; trends; structural breaks;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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