Investigating regional house price convergence in the United States: Evidence from a pair-wise approach Academic Article

abstract

  • 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. © 2011 Elsevier B.V.

publication date

  • 2011/11/1

keywords

  • Confidence interval
  • Econometrics
  • Empirical modeling
  • House prices
  • Long-run equilibrium
  • Price convergence
  • Sieve bootstrap
  • Speed of adjustment
  • Test statistic
  • U.S. States
  • Unit root

International Standard Serial Number (ISSN)

  • 0264-9993

number of pages

  • 8

start page

  • 2369

end page

  • 2376