We employ recently developed cross-sectionally robust panel data tests for unit roots and cointegration to find whether house prices reflect house-related earnings. We use U.S. data for Metropolitan Statistical Areas, with house price measured by the weighted-repeated-sales index, and cash flows...

We investigate whether recently high U.S. house prices are justified by fundamental factors. The standard unit root and cointegration tests with aggregate data indicate that house rent is the only fundamental which has the same order of integration as the price, but these two variables are not...