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

Author

Listed:
  • Zhang Jing

    (ECCA, Moody’s Analytics, 121 N Walnut St, West Chester, PA 19380, USA)

  • de Jong Robert

    (Economics, The Ohio State University, Columbus, OH, USA)

  • Haurin Donald

    (Economics, The Ohio State University, Columbus, OH, USA)

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.

Suggested Citation

  • Zhang Jing & de Jong Robert & Haurin Donald, 2016. "Are US real house prices stationary? New evidence from univariate and panel data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 1-18, February.
    • Handle: RePEc:bpj:sndecm:v:20:y:2016:i:1:p:1-18:n:1
    DOI: 10.1515/snde-2013-0134
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    References listed on IDEAS

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    Cited by:

    1. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    2. David Gray, 2021. "A simple measure of beta-convergence revisited," Urban Studies, Urban Studies Journal Limited, vol. 58(12), pages 2569-2583, September.
    3. Marina Khismatullina & Michael Vogt, 2022. "Multiscale Comparison of Nonparametric Trend Curves," Papers 2209.10841, arXiv.org.

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