Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - Rimini Centre for Economic Analysis (RCEA) - 2011
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...