Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function
Tsangyao Chang (),
Tsung-pao Wu () and
Rangan Gupta ()
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Tsung-pao Wu: Department of Finance, Feng Chia University, Taichung, Taiwan
No 201324, Working Papers from University of Pretoria, Department of Economics
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 non-stationary 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 non-stationary. 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 9 provinces under study. Our test results have important economic and policy implications for South Africa.
Keywords: House Prices; Panel KSS Unit Root Test; Sequential Panel Selection Method; Non-Stationary (search for similar items in EconPapers)
JEL-codes: C23 R21 (search for similar items in EconPapers)
Pages: 33 pages
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Journal Article: Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201324
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