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Citations for "A Spatio-Temporal Model of House Prices in the US"

by Sean Holly & M. Hashem Pesaran & Takashi Yamagata

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  1. 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.
  2. Markus Eberhardt & Andrea Filippo Presbitero, 2013. "This Time They're Different: Heterogeneity;and Nonlinearity in the Relationship;between Debt and Growth," Mo.Fi.R. Working Papers 92, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
  3. 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.
  4. Arias, Maria A. & Gascon, Charles S. & Rapach, David E., 2014. "Metro Business Cycles," Working Papers 2014-46, Federal Reserve Bank of St. Louis, revised 09 May 2016.
  5. Girum D. Abate & Luc Anselin, 2016. "House price fluctuations and the business cycle dynamics," CREATES Research Papers 2016-06, Department of Economics and Business Economics, Aarhus University.
  6. Ryan R. Brady, 2007. "Measuring the diffusion of housing prices across space and over time," Departmental Working Papers 19, United States Naval Academy Department of Economics.
  7. Michele Aquaro & Natalia Bailey & M. Hashem Pesaran, 2015. "Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients," CESifo Working Paper Series 5428, CESifo Group Munich.
  8. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University.
  9. Florence Goffette-Nagot, 2009. "Prix fonciers et demande de sol à usage résidentiel en France - 1975-2000," Working Papers 0932, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  10. 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.
  11. Herzer, Dierk & Vollmer, Sebastian, 2013. "Rising top incomes do not raise the tide," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 504-519.
  12. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "Spatial and Temporal Diffusion of House Prices in the UK," IZA Discussion Papers 4694, Institute for the Study of Labor (IZA).
  13. Elias Oikarinen & Janne Engblom, 2012. "Regional differences in housing price dynamics: panel data evidence," ERES eres2012_059, European Real Estate Society (ERES).
  14. Escribano, Álvaro & Blazsek, Szabolcs, 2009. "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," UC3M Working papers. Economics we098951, Universidad Carlos III de Madrid. Departamento de Economía.
  15. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2013. "Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure," Working Papers 201322, University of Pretoria, Department of Economics.
  16. Herzer, Dierk & Nunnenkamp, Peter, 2012. "The effect of foreign aid on income inequality: Evidence from panel cointegration," Structural Change and Economic Dynamics, Elsevier, vol. 23(3), pages 245-255.
  17. Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013. "Common correlated effects and international risk sharing," Working Papers 2013-3R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Aug 2013.
  18. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
  19. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2014. "Testing for Panel Cointegration using Common Correlated Effects Estimators," Discussion Papers 15-02, Department of Economics, University of Birmingham.
  20. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series 1574, European Central Bank.
  21. Ana Angulo & Peter Burridge & Jesús Mur, 2017. "Testing for breaks in the weighting matrix," Documentos de Trabajo dt2017-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
  22. Hiebert, Paul & Vansteenkiste, Isabel, 2009. "Do house price developments spill over across euro area countries? Evidence from a Global VAR," Working Paper Series 1026, European Central Bank.
  23. Petrella, Ivan & Santoro, Emiliano, 2012. "Inflation dynamics and real marginal costs: New evidence from U.S. manufacturing industries," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 779-794.
  24. Jonathan Temple & Nicolas Van de Sijpe, 2015. "Foreign Aid and Domestic Absorption," Bristol Economics Discussion Papers 15/658, Department of Economics, University of Bristol, UK, revised 22 May 2015.
  25. Arnab Bhattacharjee & Sean Holly, 2010. "Understanding Interactions in Social Networks and Committees," CDMA Working Paper Series 201004, Centre for Dynamic Macroeconomic Analysis.
  26. Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute for the Study of Labor (IZA).
  27. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach," Working Paper Series 29_11, The Rimini Centre for Economic Analysis.
  28. Eloisa T. Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2011. "Determinants of House Prices in Nine Asia-Pacific Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 163-204, September.
  29. Nicholas Apergis & James Payne, 2012. "Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure," Letters in Spatial and Resource Sciences, Springer, vol. 5(2), pages 103-111, July.
  30. Bai, Jushan & Carrion-i-Silvestre, Josep Lluis, 2009. "Testing Panel Cointegration with Unobservable Dynamic Common Factors," MPRA Paper 35243, University Library of Munich, Germany.
  31. Mariarosaria Comunale, 2015. "Euro-Dollar Polarization and Heterogeneity in Exchange Rate Pass-Throughs Within the Euro Zone," CEIS Research Paper 333, Tor Vergata University, CEIS, revised 13 Mar 2015.
  32. Durmaz, Nazif, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," MPRA Paper 28556, University Library of Munich, Germany.
  33. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015. "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers 2015-02, Department of Economics and Business Economics, Aarhus University.
  34. Oliver Bischoff, 2010. "Explaining Regional Variation in Equilibrium Real Estate Prices and Income," Working Papers 036, Chair for Economic Policy, University of Hamburg.
  35. Sam, Aflaki & Syed Abul, Basher & Andrea, Masini, 2016. "Does economic growth matter? Technology-push, demand-pull and endogenous drivers of innovation in the renewable energy industry," MPRA Paper 69773, University Library of Munich, Germany.
  36. Cavalcanti, T.V.V. & Mohaddes, K. & Raissi, M., 2009. "Growth, Development and Natural Resources: New Evidence Using a Heterogeneous Panel Analysis," Cambridge Working Papers in Economics 0946, Faculty of Economics, University of Cambridge.
  37. Hiller, Norbert & Lerbs, Oliver W., 2016. "Aging and urban house prices," ZEW Discussion Papers 15-024, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  38. Stanimira Milcheva, 2012. "Monetary policy, financial intermediation, current account and housing market - how do they fit together?," ERES eres2012_151, European Real Estate Society (ERES).
  39. Herzer, Dierk, 2014. "Unions and income inequality: a heterogenous cointegration and causality analysis," Working Paper 146/2014, Helmut Schmidt University, Hamburg.
  40. Herzer, Dierk & Nunnenkamp, Peter, 2015. "Income inequality and health: Evidence from developed and developing countries," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 9, pages 1-56.
  41. Albuquerque, Bruno & Baumann, Ursel & Krustev, Georgi, 2014. "Has US household deleveraging ended? a model-based estimate of equilibrium debt," Working Paper Series 1643, European Central Bank.
  42. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Staff Working Papers 07-2, Bank of Canada.
  43. Felipa de Mello-Sampayo & Sofia de Sousa Vale, 2012. "Financing Health Care Expenditure in the OECD Countries: Evidence from a Heterogeneous, Cross-Sectionally Dependent Panel," Working Papers Department of Economics 2012/34, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  44. Dierk Herzer & Holger Strulik & Sebastian Vollmer, 2012. "The long-run determinants of fertility: one century of demographic change 1900–1999," Journal of Economic Growth, Springer, vol. 17(4), pages 357-385, December.
  45. Bhattacharjee, A. & Holly, S., 2010. "Structural Interactions in Spatial Panels," Cambridge Working Papers in Economics 1004, Faculty of Economics, University of Cambridge.
  46. Konstantin A. Kholodilin & Jan-Oliver Menz & Boriss Siliverstovs, 2007. "What Drives Housing Prices Down?: Evidence from an International Panel," Discussion Papers of DIW Berlin 758, DIW Berlin, German Institute for Economic Research.
  47. Daniel Sakyi & Jose Villaverde & Adolfo Maza & Krishna Reddy Chittedieonardo, 2012. "Trade Openness, Growth and Development: Evidence from Heterogeneous Panel Cointegration Analysis for Middle-Income Countries," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, pages -, August.
  48. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  49. Anke Weber & Chunfang Yang, 2011. "Armenia; An Assessment of the Real Exchange Rate and Competitiveness," IMF Working Papers 11/20, International Monetary Fund.
  50. Dierk Herzer & Michael Grimm, 2011. "Does foreign aid increase private investment? Evidence from panel cointegration," Post-Print hal-00701864, HAL.
  51. Donald G. Freeman, 2012. "Is Health Care a Necessity or a Luxury? New Evidence from a Panel of U.S. State-Level Data," Working Papers 1203, Sam Houston State University, Department of Economics and International Business.
  52. Sanjay Sehgal & Mridul Upreti & Piyush Pandey & Aakriti Bhatia, 2015. "Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects in Gurgaon, India," International Real Estate Review, Asian Real Estate Society, vol. 18(4), pages 523-566.
  53. repec:hal:journl:peer-00732533 is not listed on IDEAS
  54. Yang Hu & Les Oxley, 2016. "Bubbles in US Regional House Prices: Evidence from House Price/Income Ratios at the State Level," Working Papers in Economics 16/06, University of Waikato, Department of Economics.
  55. Chan, Mark K. & Kwok, Simon, 2016. "Policy Evaluation with Interactive Fixed Effects," Working Papers 2016-11, University of Sydney, School of Economics.
  56. Reinhold Kosfeld & Christian Dreger, 2015. "Local and Spatial Cointegration in the Wage Curve: A Spatial Panel Analysis for German Regions," Discussion Papers of DIW Berlin 1538, DIW Berlin, German Institute for Economic Research.
  57. Daniel Goya, 2014. "The Multiple Impacts of the Exchange Rate on Export Diversification," Cambridge Working Papers in Economics 1436, Faculty of Economics, University of Cambridge.
  58. Dierk Herzer, 2009. "Cross-country heterogeneity and the trade-income relationship," FIW Working Paper series 026, FIW.
  59. Zhang Jing & de Jong Robert & Haurin Donald, 2016. "Are US real house prices stationary? New evidence from univariate and panel data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 1-18, February.
  60. Dolton, Peter & Bondibene, Chiara Rosazza & Stops, Michael, 2015. "Identifying the employment effect of invoking and changing the minimum wage: A spatial analysis of the UK," Labour Economics, Elsevier, vol. 37(C), pages 54-76.
  61. Koetter, Michael & Poghosyan, Tigran, 2010. "Real estate prices and bank stability," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1129-1138, June.
  62. Dierk Herzer & Peter Nunnenkamp, 2011. "Income Inequality and Health: New Evidence from Panel Data," Kiel Working Papers 1736, .
  63. 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, 06.
  64. Dierk Herzer, 2010. "The Long-Run Relationship between Outward FDI and Total Factor Productivity: Evidence for Developing Countries," Ibero America Institute for Econ. Research (IAI) Discussion Papers 199, Ibero-America Institute for Economic Research.
  65. Herzer, Dierk & Nowak-Lehmann, Felicitas & Dreher, Axel & Klasen, Stephan & Martinez-Zarzoso, Inmaculada, 2015. "Comment on Lof, Mekasha, and Tarp (2014)," World Development, Elsevier, vol. 70(C), pages 389-396.
  66. Márcio Poletti Laurini, 2017. "A continuous spatio-temporal model for house prices in the USA," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 58(1), pages 235-269, January.
  67. Michael Beenstock & Daniel Felsenstein, 2010. "Spatial error correction and cointegration in nonstationary panel data: regional house prices in Israel," Journal of Geographical Systems, Springer, vol. 12(2), pages 189-206, June.
  68. Halleck Vega, Solmaria & Elhorst, J. Paul, 2016. "A regional unemployment model simultaneously accounting for serial dynamics, spatial dependence and common factors," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 85-95.
  69. Brady, Ryan R., 2014. "The spatial diffusion of regional housing prices across U.S. states," Regional Science and Urban Economics, Elsevier, vol. 46(C), pages 150-166.
  70. Koetter, Michael & Poghosyan, Tigran, 2008. "Real estate markets and bank distress," Discussion Paper Series 2: Banking and Financial Studies 2008,18, Deutsche Bundesbank, Research Centre.
  71. Mercy Laita Palamuleni, 2017. "The Unemployment Invariant Hypothesis: Heterogenous Panel Cointegration Evidence From U.S. State Level Data," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 414-419.
  72. Jeffrey Cohen & Yannis M. Ioannides & Win (Wirathip) Thanapisitikul, 2015. "Spatial Effects and House Price Dynamics in the U.S.A," Discussion Papers Series, Department of Economics, Tufts University 0809, Department of Economics, Tufts University.
  73. Le Ma & Chunlu Liu, 2015. "Is there Long-Run Equilibrium in the House Prices of Australian Capital Cities?," International Real Estate Review, Asian Real Estate Society, vol. 18(4), pages 503-521.
  74. J. B. Qian, 2016. "Estimation of Panel Model with Spatial Autoregressive Error and Common Factors," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 367-399, March.
  75. Nicole Grunewald & Inmaculada Martínez-Zarzoso, 2014. "Green Growth in Mexico, Brazil and Chile: Policy strategies and future prospects," Ibero America Institute for Econ. Research (IAI) Discussion Papers 229, Ibero-America Institute for Economic Research.
  76. Carlos Pestana BARROS & Zhongfei CHEN & Luis A. GIL-ALANA, 2013. "Long Memory in the Housing Price Indices in China," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(7), pages 785-807, July.
  77. Bonizzi, Bruno, 2015. "Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand," MPRA Paper 61784, University Library of Munich, Germany.
  78. Hiller, Norbert & Lerbs, Oliver W., 2016. "Aging and urban house prices," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 276-291.
  79. Krenz, Astrid, 2016. "Do political institutions influence international trade? Measurement of institutions and the Long-Run effects," Center for European, Governance and Economic Development Research Discussion Papers 276, University of Goettingen, Department of Economics.
  80. Özbuğday, Fatih Cemil & Erbas, Bahar Celikkol, 2015. "How effective are energy efficiency and renewable energy in curbing CO2 emissions in the long run? A heterogeneous panel data analysis," Energy, Elsevier, vol. 82(C), pages 734-745.
  81. Vansteenkiste, Isabel & Hiebert, Paul, 2011. "Do house price developments spillover across euro area countries? Evidence from a global VAR," Journal of Housing Economics, Elsevier, vol. 20(4), pages 299-314.
  82. Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
  83. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
  84. Omay, Tolga & Yuksel, Asli & Yuksel, Aydin, 2015. "An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 18-29.
  85. Pan, Huiran & Wang, Chun, 2013. "House prices, bank instability, and economic growth: Evidence from the threshold model," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1720-1732.
  86. Clark, Steven P. & Coggin, T. Daniel, 2011. "Was there a U.S. house price bubble? An econometric analysis using national and regional panel data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 189-200, May.
  87. Svein Olav Krakstad, 2015. "Long-Run Movements in House Prices," International Real Estate Review, Asian Real Estate Society, vol. 18(4), pages 429-454.
  88. Vansteenkiste, Isabel, 2007. "Regional housing market spillovers in the US: lessons from regional divergences in a common monetary policy setting," Working Paper Series 0708, European Central Bank.
  89. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
  90. Arnab Bhattacharjee & Sean Holly, 2011. "Structural interactions in spatial panels," Empirical Economics, Springer, vol. 40(1), pages 69-94, February.
  91. Canepa, Alessandra & Chini, Emilio Zanetti, 2016. "Dynamic asymmetries in house price cycles: A generalized smooth transition model," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 91-103.
  92. Beatrice D. Simo-Kengne & Manoel Bittencourt & Rangan Gupta, 2011. "House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data," Working Papers 201116, University of Pretoria, Department of Economics.
  93. G. Forchini & Bin Jiang & Bin Peng, 2015. "Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity," Monash Econometrics and Business Statistics Working Papers 14/15, Monash University, Department of Econometrics and Business Statistics.
  94. Giovanni Forchini & Bin Jiang & Bin Peng, 2015. "Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure and Endogeneity," School of Economics Discussion Papers 0315, School of Economics, University of Surrey.
  95. Dierk Herzer & Oliver Morrissey, "undated". "The Long-Run Effect of Aid on Domestic Output," Discussion Papers 09/01, University of Nottingham, CREDIT.
  96. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
  97. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers 11-16, Department of Economics, University of Birmingham.
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