Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests

Syed Abul Basher and Josep Carrion-i-Silvestre

MPRA Paper from University Library of Munich, Germany

Abstract: This paper revisits the empirical analysis in Cecchetti, Mark and Sonora (2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around nine years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise tests of price level convergence.

Keywords: Purchasing power parity; Price level convergence; Half-life; Multiple structural breaks; Pairwise convergence. (search for similar items in EconPapers)
JEL-codes: C23 C33 E31 F41 (search for similar items in EconPapers)
Date: 2010-05-04
New Economics Papers: this item is included in nep-geo, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Measuring persistence of U.S. city prices: new evidence from robust tests (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22482

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