Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055363 | Economic Modelling | 2011 | 8 Pages |
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.
⺠House price convergence is investigated for US states and Metropolitan Areas. ⺠A probabilistic test statistic is based on pair-wise unit root tests. ⺠Confidence intervals are obtained from a bootstrap procedure. ⺠The results confirm the presence of long-run convergence. ⺠The speed of adjustment is inversely related to the distance between states.