Comovements among U.S. State Housing Prices: Evidence from Fractional Cointegration
Sep 21, 2012
Articles in journals
Barros, C., Payne, J., Gil Alana, L.
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.
US state housing prices,Persistence,long memory,Fractional integration