Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2014
Abstract
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160–173) use a panel of 49 states over the period 1975–2003 to show that state-level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74(4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the period 1975–2011. Our replication shows that their results are fairly robust to the more geographically refined cross-section units, and to the updated period of study.
Keywords
House Prices, Cointegration, Cross-Sectional Dependence
Discipline
Public Economics | Real Estate
Research Areas
Applied Microeconomics
Publication
Journal of Applied Econometrics
Volume
29
Issue
3
First Page
515
Last Page
522
ISSN
1099-1255
Identifier
10.1002/jae.2372
Publisher
Wiley
Citation
BALTAGI, Badi H. and LI, Jing.
Further Evidence on the Spatio-Temporal Model of House Prices in the United States. (2014). Journal of Applied Econometrics. 29, (3), 515-522.
Available at: https://ink.library.smu.edu.sg/soe_research/1543
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/jae.2372