Comovements among U.S. state housing prices: Evidence from fractional cointegration

被引：41

作者：

Barros, Carlos Pestana ^{[1
]}

Gil-Alana, Luis A. ^{[2
]}

Payne, James E. ^{[3
]}

机构：

[1] Univ Tecn Lisboa, Lisbon, Portugal

[2] Univ Navarra, Fac Econ, E-31080 Pamplona, Spain

[3] Univ S Florida Polytech, Lakeland, FL 33803 USA

来源：

ECONOMIC MODELLING | 2012年 / 29卷 / 03期

关键词：

US state housing prices; Persistence; Long memory; Fractional cointegration; LOG-PERIODOGRAM REGRESSION; MAXIMUM-LIKELIHOOD-ESTIMATION; LOCAL WHITTLE ESTIMATION; LONG-RUN RELATIONSHIPS; TIME-SERIES; UNIT-ROOT; NONSTATIONARY; CONVERGENCE; RANGE; UK;

D O I：

10.1016/j.econmod.2012.02.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegrating relations between U.S. states housing prices and the overall U.S. housing prices as well as among state housing prices. The results raise doubts regarding the long-run convergence in U.S. state housing prices and the presence of the ripple effect. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：936 / 942

页数：7

共 66 条

[1] Nonstationarity-extended local Whittle estimation [J].