Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Modeling regional house prices

[journal article]

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

fulltextDownloadDownload full text

(767 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-243129

Further Details
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.
Classification Economic Statistics, Econometrics, Business Informatics
Free Keywords cross-section dependence; cointegration; ripple effect
Document language English
Publication Year 2009
Page/Pages 36 p.
Journal Applied Economics (2009)
DOI http://dx.doi.org/10.1080/00036840903085089
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)