Investigating regional house price convergence in the United States: Evidence from a pair-wise approach |
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| Authors: | Mark J Holmes Jesús Otero Theodore Panagiotidis |
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| Institution: | aDepartment of Economics, Waikato University, New Zealand;bFacultad de Economía, Universidad del Rosario, Colombia;cDepartment of Economics, University of Macedonia, Greece |
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| Abstract: | 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. |
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| Keywords: | JEL classification: C2 C3 R1 R2 R3 |
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