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Comovements among U.S. state housing prices: Evidence from fractional cointegration |
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| Authors: | Carlos Pestana Barros Luis A Gil-Alana James E Payne |
| Institution: | 1. Technical University of Lisbon, Lisbon, Portugal;2. University of Navarra, Faculty of Economics, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain;3. University of South Florida Polytechnic, 3433 Winter Lake Road, Lakeland, FL 33803, USA |
| Abstract: | 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. |
| Keywords: | C22 |
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