Dijk, A. van; Franses, Ph.H.B.F.; Paap, R.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2007
time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and …, cointegration, cross-equation correlations and, most importantly,
latent-class clustering of regions. Class membership is fully data … regions, with pronounced difierences in house price dynamics.
Keywords: cross-section dependence, cointegration, ripple efiect …