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Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates …
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Further Evidence On The Spatio-Temporal Model Of House Prices In The United States, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160–173) use a panel of 49 states over the period 1975–2003 to show that state-level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological change. They apply the common correlated effects estimator of Pesaran (Econometrica 2006; 74(4): 967–101), which takes into account spatial interactions that reflect both geographical proximity and unobserved common factors. This paper replicates their results using a panel of 381 metropolitan statistical areas observed over the …