Long memory and fractional integration in the housing price series of London and Paris

Luis Gil-Alana, Carlos Barros and Nicolas Peypoch

Applied Economics, 2014, vol. 46, issue 27, 3377-3388

Abstract: This article deals with the analysis of house price indexes from a long-range dependence viewpoint. In particular, it estimates the fractional differencing parameter in the London and Paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data. Moreover, it analyses the stability of the parameters across the sample period examined. It is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others. Policy implications are derived.

Date: 2014
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DOI: 10.1080/00036846.2014.929630

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