House price convergence in the very long run: new evidence from Fourier quantile unit root test

Lei Pan and Takashi Matsuki

MPRA Paper from University Library of Munich, Germany

Abstract: We examine the house prices convergence across twelve OECD countries over the period 1905-2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, eleven countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks on the relative house prices across quantiles.

Keywords: House prices; Convergence; Unit root; Quantile regression; Fourier expansion (search for similar items in EconPapers)
JEL-codes: O18 R31 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:110816

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