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Investigating Regional House Price Convergence in the United States: Evidence from a pair-wise approach

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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Paper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2011_12.

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Date of creation: Jun 2011
Date of revision: Jun 2011
Handle: RePEc:mcd:mcddps:2011_12
Contact details of provider: Web page: http://www.uom.gr/index.php?tmima=3

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