Measuring the diffusion of housing prices across space and over time: Replication and further evidence

Shulin Shen and Jindong Pang

Journal of Applied Econometrics, 2018, vol. 33, issue 3, 479-484

Abstract: Brady (Journal of Applied Econometrics, 2011, 26(2), 213–231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the impulse response functions using a spatial autoregressive model (SAR). This paper replicates Brady's empirical results, but reports different SAR test statistics. Additional robustness checks are conducted by analyzing three different housing price indexes covering a more extensive period. Analysis shows that the model specifications and model estimates vary with the housing price indexes.

Date: 2018
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