Long memory and fractional integration in the housing price series of London and Paris |
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| Authors: | Luis Alberiko Gil-Alana Carlos Barros Nicolas Peypoch |
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| Affiliation: | 1. Faculty of Economics and ICS, University of Navara, Pamplona, E-31080 Spainalana@unav.es;3. Economics, University of Lisbon, Lisbon, Portugal;4. Economics, University of Perpignan, Perpignan, France |
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| Abstract: | This article deals with the analysis of house price indexes from a long-range dependence viewpoint. In particular, it estimates the fractional differencing parameter in the London and Paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data. Moreover, it analyses the stability of the parameters across the sample period examined. It is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others. Policy implications are derived. |
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| Keywords: | housing prices fractional integration persistence London index price Paris index price |
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