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Modeling regional house prices

[Zeitschriftenartikel]

Dijk, Bram van; Franses, Philip Hans; Paap, Richard; Dijk, Dick van

Zitationshinweis

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Abstract We develop a panel model for regional house prices, for which both the cross-section and the time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations, and, most importantly, latent-class clustering of regions. Class membership is fully data-driven and based on the average growth rates of house prices, and the relationship of house prices with economic growth. We apply the model to quarterly data for the Netherlands. The results suggest that there is convincing evidence for the existence of two distinct clusters of regions, with pronounced differences in house price dynamics.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter cross-section dependence; cointegration; ripple effect
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe 36 S.
Zeitschriftentitel Applied Economics (2009)
DOI http://dx.doi.org/10.1080/00036840903085089
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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