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Modeling regional house prices
[Zeitschriftenartikel]
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-d... mehr
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.... weniger
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
https://doi.org/10.1080/00036840903085089
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)