메뉴 건너뛰기




Volumn 49, Issue 4, 2012, Pages 757-776

Unit Roots and Structural Change: An Application to US House Price Indices

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL CITY; CAPITAL MARKET; HOUSING MARKET; STRUCTURAL CHANGE; TIME SERIES;

EID: 84863393307     PISSN: 00420980     EISSN: 1360063X     Source Type: Journal    
DOI: 10.1177/0042098011404935     Document Type: Article
Times cited : (85)

References (76)
  • 1
    • 0028579663 scopus 로고
    • Seasonality and cointegration of regional house prices in the UK
    • Alexander C., Barrow M. Seasonality and cointegration of regional house prices in the UK. Urban Studies. 1994;31:1667-1689.
    • (1994) Urban Studies , vol.31 , pp. 1667-1689
    • Alexander, C.1    Barrow, M.2
  • 6
    • 0037395602 scopus 로고    scopus 로고
    • Unit root, postwar slowdowns and long-run growth: Evidence from two structural breaks
    • Ben-David D., Lumsdaine R., Papell D. H. Unit root, postwar slowdowns and long-run growth: evidence from two structural breaks. Empirical Economics. 2003;28:303-319.
    • (2003) Empirical Economics , vol.28 , pp. 303-319
    • Ben-David, D.1    Lumsdaine, R.2    Papell, D.H.3
  • 8
    • 0036075267 scopus 로고    scopus 로고
    • Prices on the second-hand market for Swedish family houses: Correlation, causation and determinants
    • Berg L. Prices on the second-hand market for Swedish family houses: correlation, causation and determinants. European Journal of Housing Policy. 2002;2:1-24.
    • (2002) European Journal of Housing Policy , vol.2 , pp. 1-24
    • Berg, L.1
  • 9
    • 0002628833 scopus 로고    scopus 로고
    • Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the U.S. Price Level and Interest Rate
    • Bierens H. J. Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the U.S.price level and interest rate, Journal of Econometrics. 1997;81:29-64.
    • (1997) Journal of Econometrics , vol.81 , pp. 29-64
    • Bierens, H.J.1
  • 10
    • 34247117773 scopus 로고    scopus 로고
    • How do house prices affect consumption? Evidence from micro data
    • Campbell J. Y., Cocco J. F. How do house prices affect consumption? Evidence from micro data. Journal of Monetary Economics. 2007;54:591-621.
    • (2007) Journal of Monetary Economics , vol.54 , pp. 591-621
    • Campbell, J.Y.1    Cocco, J.F.2
  • 11
    • 0000941038 scopus 로고    scopus 로고
    • Threshold autoregression with a unit root
    • Caner M., Hansen B. E. Threshold autoregression with a unit root. Econometrica. 2001;69:1555-1596.
    • (2001) Econometrica , vol.69 , pp. 1555-1596
    • Caner, M.1    Hansen, B.E.2
  • 12
    • 0001209673 scopus 로고
    • Are U.S. regional incomes converging? A time series analysis
    • Carlino G. A., Mills L. Are U.S. regional incomes converging? A time series analysis.Journal of Monetary Economics. 1993;32:335-346.
    • (1993) Journal of Monetary Economics , vol.32 , pp. 335-346
    • Carlino, G.A.1    Mills, L.2
  • 14
    • 0024569535 scopus 로고
    • The efficiency of the market for single-family homes
    • Case K. E., Shiller R. J. The efficiency of the market for single-family homes. American Economic Review. 1989;79:125-137.
    • (1989) American Economic Review , vol.79 , pp. 125-137
    • Case, K.E.1    Shiller, R.J.2
  • 16
    • 21244446232 scopus 로고    scopus 로고
    • Comparing wealth effects: The stock market versus the housing market
    • Case K. E., Quigley J. M., Shiller R. J. Comparing wealth effects: the stock market versus the housing market. Advances in Macroeconomics. 2005;5:1-32.
    • (2005) Advances in Macroeconomics , vol.5 , pp. 1-32
    • Case, K.E.1    Quigley, J.M.2    Shiller, R.J.3
  • 17
    • 0011533435 scopus 로고
    • Positive feedback trading and diffusion of asset price changes: Evidence from housing transactions
    • Clapp J. M., Tirtiroglu D. Positive feedback trading and diffusion of asset price changes: evidence from housing transactions. Journal of Economic Behavior and Organization. 1994;24:337-355.
    • (1994) Journal of Economic Behavior and Organization , vol.24 , pp. 337-355
    • Clapp, J.M.1    Tirtiroglu, D.2
  • 18
    • 60849138436 scopus 로고    scopus 로고
    • Estimating the house foreclosure discount corrected for spatial price interdependence and endogeneity of market time
    • Clauretie T. M., Daneshvary N. Estimating the house foreclosure discount corrected for spatial price interdependence and endogeneity of market time. Real Estate Economics. 2009;37:43-67.
    • (2009) Real Estate Economics , vol.37 , pp. 43-67
    • Clauretie, T.M.1    Daneshvary, N.2
  • 19
    • 0142184762 scopus 로고    scopus 로고
    • The convergence of regional house prices in the UK
    • Cook S. The convergence of regional house prices in the UK. Urban Studies. 2003;40:2285-2294.
    • (2003) Urban Studies , vol.40 , pp. 2285-2294
    • Cook, S.1
  • 20
    • 12144278840 scopus 로고    scopus 로고
    • Detecting long-run relationships in regional house prices in the UK
    • Cook S. Detecting long-run relationships in regional house prices in the UK. International Review of Applied Economics. 2005a;19:107-118.
    • (2005) International Review of Applied Economics , vol.19 , pp. 107-118
    • Cook, S.1
  • 21
    • 9644290882 scopus 로고    scopus 로고
    • Regional house price behaviour in the UK: Application of a joint testing procedure
    • Cook S. Regional house price behaviour in the UK: application of a joint testing procedure. Physica A. 2005b;345:611-621.
    • (2005) Physica A , vol.345 , pp. 611-621
    • Cook, S.1
  • 22
    • 0346332932 scopus 로고    scopus 로고
    • An alternative approach to examining the ripple effect in the UK housing market
    • Cook S., Thomas C. An alternative approach to examining the ripple effect in the UK housing market. Applied Economics Letters. 2003;10:849-851.
    • (2003) Applied Economics Letters , vol.10 , pp. 849-851
    • Cook, S.1    Thomas, C.2
  • 23
    • 67650318721 scopus 로고    scopus 로고
    • Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market
    • Cook S., Vougas D. Unit root testing against an ST-MTAR alternative: finite-sample properties and an application to the UK housing market. Applied Economics. 2009;41:1397-1404.
    • (2009) Applied Economics , vol.41 , pp. 1397-1404
    • Cook, S.1    Vougas, D.2
  • 24
    • 51749088143 scopus 로고    scopus 로고
    • Index revision, house price risk, and the market for house price derivatives
    • Deng Y., Quigley J. M. Index revision, house price risk, and the market for house price derivatives. Journal of Real Estate Finance and Economics. 2008;37:191-209.
    • (2008) Journal of Real Estate Finance and Economics , vol.37 , pp. 191-209
    • Deng, Y.1    Quigley, J.M.2
  • 25
    • 77953325527 scopus 로고    scopus 로고
    • Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle
    • Dorsey R. E., Hu H., Mayer W. J., Wang H. C. Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle. Journal of Housing Economics. 2010;19:75-93.
    • (2010) Journal of Housing Economics , vol.19 , pp. 75-93
    • Dorsey, R.E.1    Hu, H.2    Mayer, W.J.3    Wang, H.C.4
  • 26
    • 0029528707 scopus 로고
    • Testing for convergence between UK regional house prices
    • Drake L. Testing for convergence between UK regional house prices. Regional Studies. 1995;29:357-366.
    • (1995) Regional Studies , vol.29 , pp. 357-366
    • Drake, L.1
  • 28
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott G., Rothenberg T. J., Stock J. H. Efficient tests for an autoregressive unit root. Econometrica. 1996;64:813-836.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 30
    • 0026379707 scopus 로고
    • Modelling regional house prices in the United Kingdom
    • Giussani B., Hadjimatheou G. Modelling regional house prices in the United Kingdom. Papers in Regional Science. 1991;70:201-219.
    • (1991) Papers in Regional Science , vol.70 , pp. 201-219
    • Giussani, B.1    Hadjimatheou, G.2
  • 31
    • 0346464695 scopus 로고    scopus 로고
    • The impact of building restrictions on housing affordability
    • Glaeser E. L., Gyourko J. The impact of building restrictions on housing affordability. Economic Policy Review. 2003;9:1-39.
    • (2003) Economic Policy Review , vol.9 , pp. 1-39
    • Glaeser, E.L.1    Gyourko, J.2
  • 32
    • 84863412687 scopus 로고    scopus 로고
    • Ripple effects and forecasting home prices in Los Angeles, Las Vegas, and Phoenix
    • Gupta R., Miller S. M. 'Ripple effects' and forecasting home prices in Los Angeles, Las Vegas, and Phoenix. The Annals of Regional Science. 2010a;:.
    • (2010) The Annals of Regional Science
    • Gupta, R.1    Miller, S.M.2
  • 33
    • 84858286970 scopus 로고    scopus 로고
    • The time-series properties of house prices: A case study of the southern California market
    • DOI: 10.1007/s11146-010-9234-7
    • Gupta R., Miller S. M. The time-series properties of house prices: a case study of the southern California market. Journal of Real Estate Finance and Economics. 2010b;:. DOI: 10.1007/s11146-010-9234-7.
    • (2010) Journal of Real Estate Finance and Economics
    • Gupta, R.1    Miller, S.M.2
  • 34
    • 0032418022 scopus 로고    scopus 로고
    • An econometric analysis of I(2) variables
    • Haldrup N. An econometric analysis of I(2) variables. Journal of Econometric Surveys. 1998;12:595-650.
    • (1998) Journal of Econometric Surveys , vol.12 , pp. 595-650
    • Haldrup, N.1
  • 35
    • 0019140460 scopus 로고
    • The regional distribution of population, migration, and climate
    • Haurin D. R. The regional distribution of population, migration, and climate. Quarterly Journal of Economics. 1980;95:293-308.
    • (1980) Quarterly Journal of Economics , vol.95 , pp. 293-308
    • Haurin, D.R.1
  • 36
    • 0024164399 scopus 로고
    • Net migration, unemployment, and the business cycle
    • Haurin D. R., Haurin R. J.Net migration, unemployment, and the business cycle.Journal of Regional Science. 1988;28:239-254.
    • (1988) Journal of Regional Science , vol.28 , pp. 239-254
    • Haurin, D.R.1    Haurin, R.J.2
  • 37
    • 33645817313 scopus 로고    scopus 로고
    • Assessing high house prices: Bubbles, fundamentals and misperceptions
    • Himmelberg C., Mayer C., Sinai T. Assessing high house prices: bubbles, fundamentals and misperceptions. Journal of Economic Perspectives. 2005;19 (4): 67-92.
    • (2005) Journal of Economic Perspectives , vol.19 , Issue.4 , pp. 67-92
    • Himmelberg, C.1    Mayer, C.2    Sinai, T.3
  • 40
    • 45149124482 scopus 로고    scopus 로고
    • Is there long-run convergence among regional house prices in the UK?
    • Holmes M., Grimes A. Is there long-run convergence among regional house prices in the UK?. Urban Studies. 2008;45:1531-1544.
    • (2008) Urban Studies , vol.45 , pp. 1531-1544
    • Holmes, M.1    Grimes, A.2
  • 42
    • 70350680790 scopus 로고    scopus 로고
    • Housing futures markets: Early evidence of return and risk
    • Jud G. D., Winkler D. T. Housing futures markets: early evidence of return and risk. Journal of Housing Research. 2008;17:1-12.
    • (2008) Journal of Housing Research , vol.17 , pp. 1-12
    • Jud, G.D.1    Winkler, D.T.2
  • 43
    • 84890659246 scopus 로고    scopus 로고
    • The long swings puzzle: What the data tell when allowed to speak freely
    • Mills T. C.Patterson K., ed., Basingstoke: Palgrave Macmillan
    • Juselius K. The long swings puzzle: what the data tell when allowed to speak freely, The New Palgrave Handbook of Empirical Econometrics. Mills T. C. Patterson K., ed. Basingstoke: Palgrave Macmillan; 2009:.
    • (2009) The New Palgrave Handbook of Empirical Econometrics
    • Juselius, K.1
  • 44
    • 33644896205 scopus 로고    scopus 로고
    • Testing for cointegration in nonlinear smooth transition error correction models
    • Kapetanios G., Shin Y., Snell A. Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory. 2003;22:279-303.
    • (2003) Econometric Theory , vol.22 , pp. 279-303
    • Kapetanios, G.1    Shin, Y.2    Snell, A.3
  • 46
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root
    • Kwiatkowski D., Phillips P., Schmidt P., Shin J. Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics. 1992;54:159-178.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.2    Schmidt, P.3    Shin, J.4
  • 47
    • 0035737164 scopus 로고    scopus 로고
    • Break point estimation and spurious rejections with endogenous unit root tests
    • Lee J., Strazicich M. C. Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics. 2001;63:535-558.
    • (2001) Oxford Bulletin of Economics and Statistics , vol.63 , pp. 535-558
    • Lee, J.1    Strazicich, M.C.2
  • 53
    • 19944401836 scopus 로고    scopus 로고
    • Housing collateral, consumption insurance and risk premia: An empirical perspective
    • Lustig H., van Nieuwerburgh S. Housing collateral, consumption insurance and risk premia: an empirical perspective. Journal of Finance. 2005;60:1167-1219.
    • (2005) Journal of Finance , vol.60 , pp. 1167-1219
    • Lustig, H.1    van Nieuwerburgh, S.2
  • 54
    • 0027449738 scopus 로고
    • Regional house prices in Britain: Long-run relationships and short-run dynamics
    • MacDonald R., Taylor M. Regional house prices in Britain: long-run relationships and short-run dynamics. Scottish Journal of Political Economy. 1993;40:43-55.
    • (1993) Scottish Journal of Political Economy , vol.40 , pp. 43-55
    • Macdonald, R.1    Taylor, M.2
  • 55
    • 0002894295 scopus 로고    scopus 로고
    • A simple error-correction model of housing prices
    • Malpezzi S.A simple error-correction model of housing prices. Journal of Housing Economics. 1999;8:27-62.
    • (1999) Journal of Housing Economics , vol.8 , pp. 27-62
    • Malpezzi, S.1
  • 56
    • 0033427734 scopus 로고    scopus 로고
    • Regional house prices and the ripple effect: A new interpretation
    • Meen G. Regional house prices and the ripple effect: a new interpretation. Housing Studies. 1999;14:733-753.
    • (1999) Housing Studies , vol.14 , pp. 733-753
    • Meen, G.1
  • 57
    • 0036246275 scopus 로고    scopus 로고
    • The time-series properties of house prices: A transAtlantic divide?
    • Meen G. The time-series properties of house prices: a transAtlantic divide?. Journal of Housing Economics. 2002;11:1-23.
    • (2002) Journal of Housing Economics , vol.11 , pp. 1-23
    • Meen, G.1
  • 60
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series: Some evidence and implications
    • Nelson C. R., Plosser C. I. Trends and random walks in macroeconomic time series: some evidence and implications. Journal of Monetary Economics. 1982;10:139-162.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 61
    • 0000387132 scopus 로고    scopus 로고
    • Lag length selection and the construction of unit root tests with good size and power
    • Ng S., Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica. 2001;69:1519-1554.
    • (2001) Econometrica , vol.69 , pp. 1519-1554
    • Ng, S.1    Perron, P.2
  • 62
    • 0000899296 scopus 로고
    • The great crash, the oil price shock and the unit root hypothesis
    • Perron P. The great crash, the oil price shock and the unit root hypothesis. Econometrica. 1989;57:1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 63
    • 0001561726 scopus 로고    scopus 로고
    • Further evidence on breaking trend functions in macroeconomic variables
    • Perron P. Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics. 1997;80:355-385.
    • (1997) Journal of Econometrics , vol.80 , pp. 355-385
    • Perron, P.1
  • 65
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips P. C. B., Perron P. Testing for a unit root in time series regression. Biometrika. 1988;75:335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 67
    • 0001116866 scopus 로고    scopus 로고
    • Housing price diffusion patterns at different aggregation levels: An examination of housing market efficiency
    • Pollakowski H. O., Ray T. S. Housing price diffusion patterns at different aggregation levels: an examination of housing market efficiency. Journal of Housing Research. 1997;8:107-124.
    • (1997) Journal of Housing Research , vol.8 , pp. 107-124
    • Pollakowski, H.O.1    Ray, T.S.2
  • 68
    • 0001165719 scopus 로고
    • The uncertain unit root in real GNP
    • Rudebusch G. The uncertain unit root in real GNP. American Economic Review. 1993;83:264-272.
    • (1993) American Economic Review , vol.83 , pp. 264-272
    • Rudebusch, G.1
  • 69
    • 0035584016 scopus 로고    scopus 로고
    • Test for asymmetry in possibly nonstationary time series data
    • Shin D. W., Lee O. Test for asymmetry in possibly nonstationary time series data. Journal of Business and Economic Statistics. 2001;19:233-244.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 233-244
    • Shin, D.W.1    Lee, O.2
  • 70
    • 0029507570 scopus 로고
    • Prices and trading volume in the housing market: A model with down-payment effects
    • Stein J. C. Prices and trading volume in the housing market: a model with down-payment effects.Quarterly Journal of Economics. 1995;110:379-406.
    • (1995) Quarterly Journal of Economics , vol.110 , pp. 379-406
    • Stein, J.C.1
  • 72
    • 0001436323 scopus 로고    scopus 로고
    • Potential pitfalls for the purchasing power parity puzzle? Sampling and specification biases in mean reversion tests of the law of one price
    • Taylor A. M. Potential pitfalls for the purchasing power parity puzzle? Sampling and specification biases in mean reversion tests of the law of one price. Econometrica. 2001;69:473-498.
    • (2001) Econometrica , vol.69 , pp. 473-498
    • Taylor, A.M.1
  • 73
    • 84923053681 scopus 로고
    • Specification, estimation, and evaluation of smooth transition autoregressive models
    • Teräsvirta T. Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association. 1994;89:208-218.
    • (1994) Journal of the American Statistical Association , vol.89 , pp. 208-218
    • Teräsvirta, T.1
  • 74
    • 38249011743 scopus 로고
    • Efficiency in housing markets: Temporal and spatial dimensions
    • Tirtiroglu D. Efficiency in housing markets: temporal and spatial dimensions. Journal of Housing Economics. 1992;2:276-292.
    • (1992) Journal of Housing Economics , vol.2 , pp. 276-292
    • Tirtiroglu, D.1
  • 76
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil price shock and the unit root hypothesis
    • Zivot E., Andrews D. W. K. Further evidence on the great crash, the oil price shock and the unit root hypothesis. Journal of Business and Economic Statistics. 1992;10:251-270.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.