US disposable personal income and house prices index. A fractional integration analysis,

Resumen:
In this paper, we examine the relationship between disposable personal income (DPI) in the United States and a house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that cointegration cannot hold, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI while it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root after 2008 once the housing bubble had burst.