Detalle Publicación

ARTÍCULO

Tests of convergence and long memory behavior in US housing prices by state

Autores: Pestana Barros, P.; Gil Alaña, Luis Alberiko; Payne, J. E.
Título de la revista: JOURNAL OF HOUSING RESEARCH
ISSN: 1052-7001
Volumen: 23
Número: 1
Páginas: 73 - 88
Fecha de publicación: 2014
Resumen:
In this study, we examine the degree of persistence in the ratio of state house price to U.S. house price indices using fractional integration and autoregressive models with quarterly data from 1975:1 to 2010:7. The results indicate that house prices are explained in terms of a long memory model that incorporates persistence and seasonality. The degree of integration and persistence varies widely across states; there is nonstationarity with mean reverting behavior in some states, while there is nonstationarity without mean reverting behavior for other. The results provide mixed evidence on the degree of convergence in housing prices across the U.S.
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