Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach


  • Discussion Paper Series


  • In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance.

fecha de publicación

  • 2011-06

Líneas de investigación

  • Convergence
  • Cross-Section Dependence
  • House Prices
  • Pair-Wise Approach
  • Panel Data


  • 2011_12