Abstract
We use data from 20 OECD countries to show strong evidence for the existence of cross-section dependence in international housing prices. This structural relationship is important to consider when studying housing prices panels. First, we implement first-generation tests (tests which assume cross-section independence) and find no evidence for stationarity or cointegration. However, we find strong evidence for stationarity and cointegration when we employ second-generation tests (tests which assume cross-section dependence). The spurious results of the former tests may lead researchers on housing prices dynamics to inaccurate conclusions with the potential to ill-inform policy-makers.
Published Version
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