Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries

Ghislain Nono Gueye

Journal of Housing Economics, 2021, vol. 51, issue C

Abstract: We use data from 20 OECD countries to show strong evidence for the existence of cross-section dependence in international housing prices. This structural relationship is important to consider when studying housing prices panels. First, we implement first-generation tests (tests which assume cross-section independence) and find no evidence for stationarity or cointegration. However, we find strong evidence for stationarity and cointegration when we employ second-generation tests (tests which assume cross-section dependence). The spurious results of the former tests may lead researchers on housing prices dynamics to inaccurate conclusions with the potential to ill-inform policy-makers.

Keywords: Housing prices; Macroeconomy; Cointegration; Vector error-correction (search for similar items in EconPapers)
JEL-codes: C01 C50 F15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jhouse:v:51:y:2021:i:c:s1051137721000012

DOI: 10.1016/j.jhe.2021.101748

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