An Analysis of USA house prices: Persistence, Breaks, and OutliersReal Estate Economics (2012)
AbstractThis paper deals with the analysis of house price indexes in the US using a long range dependence approach. In particular, it focuses on the estimation of the fractionally differencing parameter in the housing prices series and analyzes the potential presence of breaks in the data. The results indicate there is persistence in US housing prices with breaks being clearly identified. Thus, shocks affecting the structure of house prices will have persistent effects, and in some cases the effects are expected to be permanent. Policy implications are derived.
- Housing prices; fractional integration; persistence; USA house index.
Citation InformationLuis A Gil-Alana and Carlos P Barros. "An Analysis of USA house prices: Persistence, Breaks, and Outliers" Real Estate Economics (2012)
Available at: http://works.bepress.com/luis_gil_alana/2/