An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality

David Gray ()

Urban Studies, 2018, vol. 55, issue 10, 2286-2299

Abstract: Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048–3062) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems empirically: its cycle is likely to be atypical as well as asynchronised.

Keywords: Pesaran-Timmermann test; ripple effect; spectral analysis; Pesaran-Timmermann 测试; 涟漪效应; å…‰è°±åˆ†æž (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:urbstu:v:55:y:2018:i:10:p:2286-2299

DOI: 10.1177/0042098017710381

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