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

Mark Holmes (), Theodore Panagiotidis and Jesus Otero

Discussion Paper Series from Department of Economics, University of Macedonia

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.

Keywords: Panel data; cross-section dependence; pair-wise approach; house prices; convergence. (search for similar items in EconPapers)
JEL-codes: C2 C3 R1 R2 R3 (search for similar items in EconPapers)
Date: 2011-06, Revised 2011-06
New Economics Papers: this item is included in nep-geo and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)

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Related works:
Journal Article: Investigating regional house price convergence in the United States: Evidence from a pair-wise approach (2011)
Working Paper: Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2011_12

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