Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function

Chang, Tsangyao; Wu, Tsung-Pao; Gupta, Rangan

doi:10.1080/00036846.2014.959657

Cited by 6 publications

(4 citation statements)

References 48 publications

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“…Numerous studies explore possible causes of such heterogeneity and its policy implications. Chang et al (2012) argue that divergent regional housing prices may mirror heterogeneous economic development, socialcultural stratification and income inequality across regions. Divergent and volatile housing prices have long-term economic consequences.…”

Section: Introductionmentioning

confidence: 99%

Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets

Ngene

Lambert

Darrat

2014

J Real Estate Finan Econ

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We use parametric and semi-parametric methods to explore the effects of structural breaks on long memory processes in nine US regional and national housing prices over the period from January 1991 to February 2014. The results reveal multiple structural breaks and differential break points across regions. The regional break points do not coincide with the national break suggesting a spatial pattern of the underlying determinants of regional housing prices. We find long memory in regional housing prices using the entire sample period, but the results are generally reversed in subsamples (regimes) that incorporate structural breaks. Our evidence suggests that failure to account for structural breaks when testing for long memory can lead to incorrect inferences. The results, which proved robust to model specifications, have important implications for policy prescriptions, for market efficiency, and for the integration of regional housing markets.

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Section: Introductionmentioning

confidence: 99%

Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets

Ngene

Lambert

Darrat

2014

J Real Estate Finan Econ

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“…Generally speaking, it is believed that convergence of health care expenditures, possibly due to income convergence, is more likely to occur across regions within a country than across countries, given that these regions are relatively more homogenous than countries in terms of economic conditions, policies related to health, technology, the structure of the health industry, consumer preferences, and general features characterizing the health care system (Wang, 2009 (Chang et al, 2015). Our modifications of the standard IPS test are in two directions.…”

Section: Introductionmentioning

confidence: 99%

“…First, given the evidence of structural breaks in the health care expenditures in the US states, as reported by Rettenmaier and Wang (2006) and Freeman (2012), we model structural breaks of an unknown form as a smooth process via means of flexible Fourier transforms (Enders and Lee, 2012). Such an approach is preferable over standard methodologies of modeling structural breaks through dummy variables (Carrion-i-Silvestre, 2005; and references cited therein), which implies abrupt changes in the mean and/or trend of a series, which is less likely to be observed in low frequency data (Chang et al, 2015). Moreover, in terms of the dummy variables approach, one has to acknowledge the exact number and location of the breaks.…”

Section: Introductionmentioning

confidence: 99%

Convergence of Health Care Expenditures Across the US States: A Reconsideration

et al. 2016

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SUMMARYCurrent evidence on the convergence of health care expenditures across the US states into a single convergence club is non-existent. Against this backdrop, we revise this issue using a modified panel unit root test that accounts for smooth structural changes spanning the period of 1966-2009. The results illustrate that the ratio of the individual health care expenditures relative to the cross-sectional average is broken trend-stationary, not only in the aggregate panel, but also across all 50 US states, as indicated by a sequential panel selection method. In addition, the findings also document that the evidence of convergence in health care expenditures is possibly due to the convergence of personal disposable income across the US states. These results are expected to have important policy implications for the US health care market.

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“…Lee (2012a, 2012b) use the Fourier flexible form to construct unit root tests that do not require a priori knowledge of the precise form of the break. These tests have been employed in a variety of applications, including tests of stationarity in house prices (Chang et al 2015) and real exchange rates (Zhou and Kutan 2014).…”

Section: Introductionmentioning

confidence: 99%

Reducing Approximation Error in the Fourier Flexible Functional Form

Skolrud

2017

Econometrics

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Abstract:The Fourier Flexible form provides a global approximation to an unknown data generating process. In terms of limiting function specification error, this form is preferable to functional forms based on second-order Taylor series expansions. The Fourier Flexible form is a truncated Fourier series expansion appended to a second-order expansion in logarithms. By replacing the logarithmic expansion with a Box-Cox transformation, we show that the Fourier Flexible form can reduce approximation error by 25% on average in the tails of the data distribution. The new functional form allows for nested testing of a larger set of commonly implemented functional forms.

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Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function

Abstract: This study applies the Sequential Panel Selection Method (SPSM) to investigate the time-series properties of provincial house prices for entire, large, medium, and small middle-segments of South Africa. Quarterly

Cited by 6 publications

References 48 publications

Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets

Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets

Convergence of Health Care Expenditures Across the US States: A Reconsideration

Reducing Approximation Error in the Fourier Flexible Functional Form

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