Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach
Mark Holmes (),
Jesus Otero () and
Theodore Panagiotidis ()
Working Paper series from Rimini Centre for Economic Analysis
In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance.
Keywords: Panel data; cross-section dependence; pair-wise approach; house prices; convergence (search for similar items in EconPapers)
JEL-codes: C2 C3 R1 R2 R3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-geo and nep-ure
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Journal Article: Investigating regional house price convergence in the United States: Evidence from a pair-wise approach (2011)
Working Paper: Investigating Regional House Price Convergence in the United States: Evidence from a pair-wise approach (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:29_11
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