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Are US real house prices stationary? New evidence from univariate and panel data

Are US real house prices stationary? New evidence from univariate and panel data Abstract Many papers in the housing literature treat the intertemporal evolution of the logarithm of US real house prices as a unit root process. They also study the cointegration relationship among the logarithm of real house prices and fundamental economic variables such as income and they apply an error correction specification for modeling and forecasting real house prices. This paper argues that the logarithm of US real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets supports the notion that US house prices are trend stationary. One result of this conclusion is that the validity of analyses of US house prices based on cointegration and error correction models needs to be reconsidered. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Are US real house prices stationary? New evidence from univariate and panel data

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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
ISSN
1081-1826
eISSN
1558-3708
DOI
10.1515/snde-2013-0134
Publisher site
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Abstract

Abstract Many papers in the housing literature treat the intertemporal evolution of the logarithm of US real house prices as a unit root process. They also study the cointegration relationship among the logarithm of real house prices and fundamental economic variables such as income and they apply an error correction specification for modeling and forecasting real house prices. This paper argues that the logarithm of US real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets supports the notion that US house prices are trend stationary. One result of this conclusion is that the validity of analyses of US house prices based on cointegration and error correction models needs to be reconsidered.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Feb 1, 2016

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    Kapetanios
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    Pesaran
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    Gallin
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    Pedroni
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    Pesaran