EconPapers    
Economics at your fingertips  
 

FURTHER EVIDENCE ON THE SPATIO‐TEMPORAL MODEL OF HOUSE PRICES IN THE UNITED STATES

Badi Baltagi () and Jing Li

Journal of Applied Econometrics, 2014, vol. 29, issue 3, 515-522

Abstract: SUMMARY Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158 : 160–173) use a panel of 49 states over the period 1975–2003 to show that state‐level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74 (4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the period 1975–2011. Our replication shows that their results are fairly robust to the more geographically refined cross‐section units, and to the updated period of study. Copyright © 2013 John Wiley & Sons, Ltd.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/

Related works:
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:wly:japmet:v:29:y:2014:i:3:p:515-522

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-09-30
Handle: RePEc:wly:japmet:v:29:y:2014:i:3:p:515-522