Comovements among U.S. State Housing Prices: Evidence from Fractional Cointegration 
JOURNAL
YEAR
Sep 21, 2012
TYPE
Articles in journals
AUTHORS
Barros, C., Payne, J., Gil Alana, L.
VOL Nº
29
PAGES
6
ABSTRACT
This study investigates the relationship between US state housing prices and overal US housing prices as well as the relationship among state housing prices using fractional integration and integration techniques. The results based in parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegration relation between US states housing prices and the overal Us housing prices as well as among state housing prices. The results rise doubts regarding the long range convergence in US state housing prices and the presence of ripple effect.
JEL CLASS
KEYWORDS
US state housing prices,Persistence,long memory,Fractional integration