Comovements among U.S. state housing prices: Evidence from fractional cointegration

Carlos Barros, Luis Gil-Alana and James Payne

Economic Modelling, 2012, vol. 29, issue 3, 936-942

Abstract: This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegrating relations between U.S. states housing prices and the overall U.S. housing prices as well as among state housing prices. The results raise doubts regarding the long-run convergence in U.S. state housing prices and the presence of the ripple effect.

Keywords: U.S. state housing prices; Persistence; Long memory; Fractional cointegration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942

DOI: 10.1016/j.econmod.2012.02.006

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