Holmes, M.J., Otero, J. & Panagiotidis, T. (2011). Investigating regional house price convergence in the United States: Evidence from a pair-wise approach. Economic Modelling, 28(6), 23692376.
Permanent Research Commons link: http://hdl.handle.net/10289/5652
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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