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Investigating regional house price convergence in the United States: Evidence from a pair-wise approach

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Holmes M.J.
Otero Cardona, Jesús Gilberto
Panagiotidis T.

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2011

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Abstract
In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance. © 2011 Elsevier B.V.
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Convergence , Cross-section dependence , House prices , Pair-wise approach , Panel data
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