 Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013Luis Gil-Alana, Rangan Gupta and Fernando Pérez de Gracia () No 201450, Working Papers from University of Pretoria, Department of Economics 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. Keywords: US house prices; long span annual data; long memory; non-linear trends (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201450 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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