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

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• 作者：Carlos Pestana Barros^a ; ^{cbarros@iseg.utl.pt} ; Luis A. Gil-Alana^b ; James E. Payne^c ; ^{jpayne@poly.usf.edu}
• 关键词：C22
• 刊名：Economic Modelling
• 出版年：2012
• 期刊代码：7_02649993
• 类别：eco
• 出版时间：May, 2012
• 卷：29
• 期：3
• 页码：936-942
• 文件大小：210 K

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.