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A nonlinear pairwise approach for the convergence of UK regional house prices

Eleni Kyriazakou () and Theodore Panagiotidis
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Eleni Kyriazakou: University of Macedonia

International Economics and Economic Policy, 2018, vol. 15, issue 2, No 11, 467-481

Abstract: Abstract We examine the long-run convergence across 12 UK regional house prices using a pairwise approach. The time period spans from 1983:1 to 2012:4. Linear, nonlinear and asymmetric unit root tests are considered for assessing the stationarity of all possible pairs. The test statistic for convergence is based on the percentage of unit root test rejections across all regional house price differentials. The percent of the pairs that reject the null increase from 6% in the linear ADF case to 53% for the nonlinear unit root. Probit analysis reveals that house price differentials in the South are more likely to be stationary and as a result tend to converge more compared to the North.

Keywords: Non-linear unit root tests; Convergence; Pair-wise approach; UK house prices (search for similar items in EconPapers)
JEL-codes: R1 R2 C33 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10368-017-0399-x

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