A Spatio-Temporal Model of House Prices in the US
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
- Holly, S. & Pesaran, M.H. & Yamagata. T., 2006. "A Spatio-Temporal Model of House Prices in the US," Cambridge Working Papers in Economics 0654, Faculty of Economics, University of Cambridge.
- Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2006. "A Spatio-Temporal Model of House Prices in the US," CESifo Working Paper Series 1826, CESifo.
References listed on IDEAS
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005.
"Dynamic Seemingly Unrelated Cointegrating Regressions,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 797-820.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
- Mark, Nelson & Ogaki, Masao & Sul, Donggyu, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 144, Department of Economics, The University of Auckland.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Gavin Cameron & John Muellbauer & Anthony Murphy, 2006.
"Was There A British House Price Bubble? Evidence From A Regional Panel,"
ERES
eres2006_150, European Real Estate Society (ERES).
- John Muellbauer & Gavin Cameron & John Muellbauer, 2006. "Was There A British House Price Bubble? Evidence from a Regional Panel," Economics Series Working Papers 276, University of Oxford, Department of Economics.
- Muellbauer, John & Murphy, Anthony & Cameron, Gavin, 2006. "Was There a British House Price Bubble? Evidence from a Regional Panel," CEPR Discussion Papers 5619, C.E.P.R. Discussion Papers.
- Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004.
"Testing for a unit root in panels with dynamic factors,"
Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
- Hyungsik Roger MOON & Benoit PERRON, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques.
- Bover, Olympia & Muellbauer, John & Murphy, Anthony, 1989.
"Housing, Wages and UK Labour Markets,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(2), pages 97-136, March.
- Bover, Olympia & Muellbauer, John & Murphy, Anthony, 1988. "Housing, Wages and UK Labour Markets," CEPR Discussion Papers 268, C.E.P.R. Discussion Papers.
- Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1998.
"Asymmetries in Housing and Financial Market Institutions and EMU,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 14(3), pages 54-80, Autumn.
- Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1999. "Asymmetries in Housing and Financial Market Institutions and EMU," CEPR Discussion Papers 2062, C.E.P.R. Discussion Papers.
- Martin Feldstein & Jerry Green & Eytan Sheshinski, 1983.
"Inflation and Taxes in a Growing Economy with Debt and Equity Finance,"
NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 44-60,
National Bureau of Economic Research, Inc.
- Feldstein, Martin S & Green, Jerry R & Sheshinski, Eytan, 1978. "Inflation and Taxes in a Growing Economy with Debt and Equity Finance," Journal of Political Economy, University of Chicago Press, vol. 86(2), pages 53-70, April.
- Martin Feldstein & Jerry Green & Eytan Sheshinski, 1978. "Inflation and Taxes in a Growing Economy with Debt and Equity Finance," NBER Chapters, in: Research in Taxation, pages 53-70, National Bureau of Economic Research, Inc.
- Sheshinski, Eytan & Feldstein, Martin & Green, Jerry & Auerbach, Alan, 1978. "Inflation and Taxes in a Growing Economy with Debt and Equity Finance," Scholarly Articles 3203645, Harvard University Department of Economics.
- M. Hashem Pesaran, 2021.
"General diagnostic tests for cross-sectional dependence in panels,"
Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
- Pesaran, M.H., 2004. "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics 0435, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute of Labor Economics (IZA).
- M. Hashem Pesaran, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," CESifo Working Paper Series 1229, CESifo.
- Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011.
"Panels with non-stationary multifactor error structures,"
Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
- Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
- G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute of Labor Economics (IZA).
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
- Frees, Edward W., 1995. "Assessing cross-sectional correlation in panel data," Journal of Econometrics, Elsevier, vol. 69(2), pages 393-414, October.
- Peter Pedroni, 1999.
"Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
- Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
- repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
- M. Hashem Pesaran, 2006.
"Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure,"
Econometrica, Econometric Society, vol. 74(4), pages 967-1012, July.
- M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo.
- Buckley, Robert & Ermisch, John, 1982. "Government Policy and House Prices in the United Kingdom: An Econometric Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 44(4), pages 273-304, November.
- Patrick Sevestre & Laszlo Matyas, 2008.
"The Econometrics of Panel Data,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00279977, HAL.
- Patrick Sevestre & Laszlo Matyas, 2008. "The Econometrics of Panel Data," Post-Print halshs-00279977, HAL.
- Joshua H. Gallin, 2003. "The long-run relationship between house prices and income: evidence from local housing markets," Finance and Economics Discussion Series 2003-17, Board of Governors of the Federal Reserve System (U.S.).
- Paelinck, J., 1978. "Spatial econometrics," Economics Letters, Elsevier, vol. 1(1), pages 59-63.
- Chamberlain, Gary & Rothschild, Michael, 1983.
"Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets,"
Econometrica, Econometric Society, vol. 51(5), pages 1281-1304, September.
- Gary Chamberlain & Michael Rothschild, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," NBER Working Papers 0996, National Bureau of Economic Research, Inc.
- Chamberlain, Gary & Rothschild, Michael, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Scholarly Articles 3230355, Harvard University Department of Economics.
- Jonathan McCarthy & Richard Peach, 2004. "Are home prices the next \\"bubble\\"?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-17.
- Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
- Edward L. Glaeser & Joseph Gyourko, 2005.
"Urban Decline and Durable Housing,"
Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 345-375, April.
- Edward L. Glaeser & Joseph Gyourko, "undated". "Urban Decline and Durable Housing," Zell/Lurie Center Working Papers 382, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Edward L. Glaeser & Joseph Gyourko, 2001. "Urban Decline and Durable Housing," NBER Working Papers 8598, National Bureau of Economic Research, Inc.
- Edward L. Glaeser & Joseph Gyourko, 2001. "Urban Decline and Durable Housing," Harvard Institute of Economic Research Working Papers 1931, Harvard - Institute of Economic Research.
- Gerald Carlino & Robert Defina, 1998. "The Differential Regional Effects Of Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 572-587, November.
- Joakim Westerlund, 2005.
"New Simple Tests for Panel Cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 297-316.
- Westerlund, Joakim, 2005. "New Simple Tests for Panel Cointegration," Working Papers 2005:8, Lund University, Department of Economics.
- M. Hashem Pesaran, 2007.
"A simple panel unit root test in the presence of cross-section dependence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
- Edward L. Glaeser & Joseph Gyourko & Raven E. Saks, 2006.
"Urban growth and housing supply,"
Journal of Economic Geography, Oxford University Press, vol. 6(1), pages 71-89, January.
- Edward L. Glaeser & Joseph Gyourko & Raven E. Saks, 2005. "Urban Growth and Housing Supply," Harvard Institute of Economic Research Working Papers 2062, Harvard - Institute of Economic Research.
- Edward L. Glaeser & Joseph Gyourko & Raven E. Saks, 2005. "Urban Growth and Housing Supply," NBER Working Papers 11097, National Bureau of Economic Research, Inc.
- repec:bla:obuest:v:61:y:1999:i:0:p:653-70 is not listed on IDEAS
- Christian Gengenbach & Franz C. Palm & Jean‐Pierre Urbain, 2006. "Cointegration Testing in Panels with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 683-719, December.
- Kelejian, Harry H & Prucha, Ingmar R, 1999.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
- Harry H. Kelejian & Ingmar R. Prucha, 1995. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," Electronic Working Papers 95-001, University of Maryland, Department of Economics, revised Mar 1997.
- Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011.
"Panels with non-stationary multifactor error structures,"
Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
- Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
- G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute of Labor Economics (IZA).
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Groen, Jan J J & Kleibergen, Frank, 2003.
"Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
- Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute.
- E. Anthon Eff, 2004. "Spatial, Cultural, and Ecological Autocorrelation in U.S. Regional Data," Working Papers 200406, Middle Tennessee State University, Department of Economics and Finance.
- Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
- Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006.
"Cointegration in panel data with breaks and cross-section dependence,"
Working Paper Series
591, European Central Bank.
- Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Cointegration in Panel Data with Breaks and Cross-section Dependence," Discussion Papers 11-25, Department of Economics, University of Birmingham.
- Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute.
- Fratantoni, Michael & Schuh, Scott, 2003. "Monetary Policy, Housing, and Heterogeneous Regional Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 557-589, August.
- Joshua Gallin, 2006. "The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(3), pages 417-438, September.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1, July-Dece.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Malpezzi, Stephen, 1999.
"A Simple Error Correction Model of House Prices,"
Journal of Housing Economics, Elsevier, vol. 8(1), pages 27-62, March.
- Stephen Malpezzi, 1998. "A Simple Error Correction Model of House Prices," Wisconsin-Madison CULER working papers 98-11, University of Wisconsin Center for Urban Land Economic Research.
- Paul Krugman, 1998. "Space: The Final Frontier," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 161-174, Spring.
- Timothy G. Conley & Bill Dupor, 2003. "A Spatial Analysis of Sectoral Complementarity," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 311-352, April.
- Peter Pedroni & Tim Vogelsang, 2005. "Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems," Department of Economics Working Papers 2005-04, Department of Economics, Williams College.
- Heitor Almeida & Murillo Campello & Crocker Liu, 2006. "The Financial Accelerator: Evidence from International Housing Markets," Review of Finance, European Finance Association, vol. 10(3), pages 321-352, September.
- Hendershott, Patric H. & Cheng Hu, Sheng, 1981. "Inflation and extraordinary returns on owner-occupied housing: Some implications for capital allocation and productivity growth," Journal of Macroeconomics, Elsevier, vol. 3(2), pages 177-203.
- Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002. "Determinants of Real House Price Dynamics," NBER Working Papers 9262, National Bureau of Economic Research, Inc.
- Dennis R. Capozza & Charlotte Mack & Patric H. Hendershott & Christopher J. Mayer, 2002. "The Determinants of House Price Dynamics," ERES eres2002_106, European Real Estate Society (ERES).
- Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
- G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
- Michael Fratantoni & Scott Schuh, 2000. "Monetary policy, housing investment, and heterogeneous regional markets," Working Papers 00-1, Federal Reserve Bank of Boston.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sean Holly & Mehdi Raissi, 2009. "The Macroeconomic Effects of European Financial Development: A Heterogenous Panel Analysis," Working Paper / FINESS 1.4, DIW Berlin, German Institute for Economic Research.
- Chen, Ping-Yu & Chen, Sheng-Tung & Hsu, Chia-Sheng & Chen, Chi-Chung, 2016. "Modeling the global relationships among economic growth, energy consumption and CO2 emissions," Renewable and Sustainable Energy Reviews, Elsevier, vol. 65(C), pages 420-431.
- In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Cem Ertur & Antonio Musolesi, 2017.
"Weak and Strong Cross‐Sectional Dependence: A Panel Data Analysis of International Technology Diffusion,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 477-503, April.
- Cem ERTUR & Antonio MUSOLESI, 2013. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," LEO Working Papers / DR LEO 1961, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Cem Ertur & Antonio Musolesi, 2015. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," SEEDS Working Papers 0415, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Feb 2015.
- Ertur, C. & Musolesi, A., 2013. "Weak and strong cross-sectional dependence: a panel data analysis of international technology diffusion," Working Papers 2013-09, Grenoble Applied Economics Laboratory (GAEL).
- Antonio Musolesi & Cem Ertur, 2015. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," Working Papers 2015064, University of Ferrara, Department of Economics.
- Antonio Musolesi & Cem Ertur, 2016. "Weak and Strong Cross-Sectional Dependence: a Panel Data Analysis of International Technology Diffusion," Working Papers 2016035, University of Ferrara, Department of Economics.
- Cem Ertur & Antonio Musolesi, 2015. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," SEEDS Working Papers 1915, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Dec 2015.
- Cem Ertur & Antonio Musolesi, 2017. "Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of International Technology Diffusion," Post-Print hal-03539371, HAL.
- Pesaran, M. Hashem & Tosetti, Elisa, 2011.
"Large panels with common factors and spatial correlation,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
- Pesaran, M. Hashem & Tosetti, Elisa, 2007. "Large Panels with Common Factors and Spatial Correlations," IZA Discussion Papers 3032, Institute of Labor Economics (IZA).
- M. Hashem Pesaran & Elisa Tosetti, 2007. "Large Panels with Common Factors and Spatial Correlations," CESifo Working Paper Series 2103, CESifo.
- M. Hashem Pesaran & Elisa Tosetti, 2011. "Large panels with common factors and spatial correlation," Post-Print hal-00796743, HAL.
- Pesaran, M.H. & Tosetti, E., 2007. "Large Panels with Common Factors and Spatial Correlations," Cambridge Working Papers in Economics 0743, Faculty of Economics, University of Cambridge.
- Everaert, Gerdie, 2014.
"A panel analysis of the fisher effect with an unobserved I(1) world real interest rate,"
Economic Modelling, Elsevier, vol. 41(C), pages 198-210.
- G. Everaert, 2012. "A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/782, Ghent University, Faculty of Economics and Business Administration.
- Mao, Guangyu & Shen, Yan, 2019. "Bubbles or fundamentals? Modeling provincial house prices in China allowing for cross-sectional dependence," China Economic Review, Elsevier, vol. 53(C), pages 53-64.
- Ozcan, Burcu, 2013. "The nexus between carbon emissions, energy consumption and economic growth in Middle East countries: A panel data analysis," Energy Policy, Elsevier, vol. 62(C), pages 1138-1147.
- Bai, Jushan & Carrion-i-Silvestre, Josep Lluis, 2009. "Testing Panel Cointegration with Unobservable Dynamic Common Factors," MPRA Paper 35243, University Library of Munich, Germany.
- Cern Ertur & Antonio Musolesi, 2012. "Spatial autoregressive spillovers vs unobserved common factors models. A panel data analysis of international technology diffusion," INRA UMR CESAER Working Papers 2012/9, INRA UMR CESAER, Centre d'’Economie et Sociologie appliquées à l'’Agriculture et aux Espaces Ruraux.
- Jushan Bai & Josep Lluís Carrion‐i‐Silvestre, 2013. "Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors," Econometrics Journal, Royal Economic Society, vol. 16(2), pages 222-249, June.
- 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.
- Badi H. Baltagi & Jing Li, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes: Evidence from Singapore," Center for Policy Research Working Papers 185, Center for Policy Research, Maxwell School, Syracuse University.
- Jing Li & Badi Baltagi, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Singapore," ERSA conference papers ersa15p571, European Regional Science Association.
- Badi H. Baltagi & Jing Li, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Sinpagore," CESifo Working Paper Series 5559, CESifo.
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005.
"Unit roots and cointegration in panels,"
Discussion Paper Series 1: Economic Studies
2005,42, Deutsche Bundesbank.
- Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo.
- Jörg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," IEPR Working Papers 05.32, Institute of Economic Policy Research (IEPR).
- Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge.
- Declan French, 2012. "Causation between health and income: a need to panic," Empirical Economics, Springer, vol. 42(2), pages 583-601, April.
- Karikallio, Hanna, 2015. "Cross-commodity Price Transmission and Integration of the EU Livestock Market of Pork and Beef: Panel Time-series Approach," 2015 Conference, August 9-14, 2015, Milan, Italy 211832, International Association of Agricultural Economists.
- R. Golinelli & I. Mammi & A. Musolesi, 2018. "Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area," Working Papers wp1120, Dipartimento Scienze Economiche, Universita' di Bologna.
- Sung, Bongsuk, 2015. "Public policy supports and export performance of bioenergy technologies: A dynamic panel approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 42(C), pages 477-495.
- Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011. "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-43, September.
- Sung, Bongsuk & Song, Woo-Yong, 2014. "How government policies affect the export dynamics of renewable energy technologies: A subsectoral analysis," Energy, Elsevier, vol. 69(C), pages 843-859.
- Hamit-Haggar, Mahamat, 2012. "Greenhouse gas emissions, energy consumption and economic growth: A panel cointegration analysis from Canadian industrial sector perspective," Energy Economics, Elsevier, vol. 34(1), pages 358-364.
More about this item
Keywords
cross sectional dependence; spatial dependence; house price;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GEO-2006-10-28 (Economic Geography)
- NEP-MAC-2006-10-28 (Macroeconomics)
- NEP-URE-2006-10-28 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iza:izadps:dp2338. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Holger Hinte (email available below). General contact details of provider: https://edirc.repec.org/data/izaaade.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.