Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function

Tsangyao Chang, Tsung-Pao Wu and Rangan Gupta

Applied Economics, 2015, vol. 47, issue 1, 32-53

Abstract: This study applies the sequential panel selection method (SPSM) to investigate the time-series properties of provincial house prices for entire, large, medium and small middle-segments of South Africa. Quarterly time-series data were collected from nine provinces in South Africa for different house-size categories over the period of 1978.Q1 to 2012.Q4. Whereas other panel-based unit-root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of integrated of order zero ( I(0) ) series and integrated of order one ( I(1) ) series in a panel setting, the SPSM proposed by Chortareas and Kapetanios (2009) can clearly identify how many and which series in the panel are stationary processes by classifying a whole panel into a group of stationary and nonstationary series. The empirical results from several panel-based, as well as standard pure time-series, unit-root tests, indicate that house prices for the nine provinces studied here are either stationary or nonstationary. However, results from the SPSM using the panel version of the Kapetanios et al. (KSS, 2003) test with a Fourier function unequivocally indicate that house prices are stationary for the nine provinces under study. Our test results have important economic and policy implications for South Africa.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.959657 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:1:p:32-53

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2014.959657

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().