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Comovements among U.S. state housing prices: Evidence from fractional cointegration

Autores: Barros, C. P.; Gil Alaña, Luis Alberiko; Payne, J. E.
Título de la revista: ECONOMIC MODELLING
ISSN: 0264-9993
Volumen: 29
Número: 3
Páginas: 936-942
Fecha de publicación: 2012
This study investigates the relationship between U.S. state housing prices and overall U.S. housing prices as well as the relationship among state housing prices using fractional integration and cointegration techniques. The results based on parametric and semiparametric estimators reveal that some states contain unit roots though we fail to find cointegrating relations between U.S. states housing prices and the overall U.S. housing prices as well as among state housing prices. The results raise doubts regarding the long-run convergence in U.S. state housing prices and the presence of the ripple effect. (C) 2012 Elsevier B.V. All rights reserved.