Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests
This paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise tests of price level convergence.
|Date of creation:||04 May 2010|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Basher Syed A. & Carrion-i-Silvestre Josep Lluís, 2009. "Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
- Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Hiranya K. Nath & Jayanta Sarkar, 2007.
"Unbiased Estimation of the Half-Life to Price Index Convergence among US Cities,"
0703, Sam Houston State University, Department of Economics and International Business.
- Hiranya K. Nath & Jayanta Sarkar, 2009. "Unbiased Estimation of the Half-Life to Price Index Convergence among U.S. Cities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 1041-1046, 08.
- Robert Sonora, 2009. "City relative price convergence in the USA with structural break(s)," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 939-944.
- Stephen G. Cecchetti & Nelson C. Mark & Robert J. Sonora, 2002. "Price Index Convergence Among United States Cities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1081-1099, November.
- M. Hashem Pesaran & Ron Smith & Takashi Yamagata & Lyudmyla Hvozdyk, 2009. "Pairwise Tests of Purchasing Power Parity," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 495-521.
- Chen, L. L. & Devereux, J., 2003. "What can US city price data tell us about purchasing power parity?," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 213-222, April.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:22482. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.