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Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013

Author

Listed:
  • Luis A. Gil-Alana

    () (University of Navarra, Pamplona, Spain)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria)

  • Ferando Perez de Gracia

    () (University of Navarra, Pamplona, Spain)

Abstract

This study examines the time series behaviour of nominal and real house prices within a long memory approach with non-linear trends using long span of data for the US economy, over the annual period of 1830-2013. In general, the results show a high degree of persistence in the series along with a component of non-linear behaviour. In general, if we assume uncorrelated errors, non-linearities are observed in both nominal and real prices but this hypothesis is rejected in favour of linear models for the logtransformation of the data. However, if autocorrelated errors are permitted, nonlinearities are observed in all cases, and mean reversion is found in the case of the logged prices, though given the wide confidence intervals, the unit root null hypothesis cannot be rejected in these cases.

Suggested Citation

  • Luis A. Gil-Alana & Rangan Gupta & Ferando Perez de Gracia, 2014. "Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013," Working Papers 201450, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201450
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    US house prices; long span annual data; long memory; non-linear trends;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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