Tests of Convergence and Long Memory Behavior in U.S. Housing Prices by State

Carlos Barros, Luis Gil-Alana and James Payne

Journal of Housing Research, 2014, vol. 23, issue 1, 73-87

Abstract: In this study, we examine the degree of persistence in the ratio of state house price to U.S. house price indices using fractional integration and autoregressive models with quarterly data from 1975:1 to 2010:7. The results indicate that house prices are explained in terms of a long memory model that incorporates persistence and seasonality. The degree of integration and persistence varies widely across states; there is nonstationarity with mean reverting behavior in some states, while there is nonstationarity without mean reverting behavior for other. The results provide mixed evidence on the degree of convergence in housing prices across the U.S.

Date: 2014
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DOI: 10.1080/10835547.2013.12092085

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