1. Is There Long-run Convergence among Regional House Prices in the UK?
- Author
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Homes, Mark J. and Grimes, Arthur
- Subjects
- *
STOCHASTIC analysis , *HOME prices , *ECONOMIC convergence , *STOCHASTIC approximation - Abstract
This paper investigates the long-run convergence of regional house prices in the UK. Existing studies have failed to reach a consensus on whether or not regional house prices exhibit long-run convergence with each other. The application is proposed of a new test involving unit root testing of the first principal component based on regional-national house price differentials. Using mix-adjusted quarterly data for 1973-2006, it is found that the first principal component is stationary. This suggests that all UK regional house prices are driven by a single common stochastic trend. Further analysis suggests that those regions that are more distant from London exhibit the highest degrees of persistence with respect to deviations in house price differentials. [ABSTRACT FROM AUTHOR]
- Published
- 2008
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