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

Mark Holmes (), Jesus Otero and Theodore Panagiotidis

Economic Modelling, 2011, vol. 28, issue 6, 2369-2376

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
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Citations: View citations in EconPapers (62)

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Related works:
Working Paper: 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:eee:ecmode:v:28:y:2011:i:6:p:2369-2376

DOI: 10.1016/j.econmod.2011.06.015

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