Measuring the diffusion of housing prices across space and over time: Replication and further evidence

Abstract

Summary Brady (Journal of Applied Econometrics, 2011, 26(2), 213–231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the impulse response functions using a spatial autoregressive model (SAR). This paper replicates Brady's empirical results, but reports different SAR test statistics. Additional robustness checks are conducted by analyzing three different housing price indexes covering a more extensive period. Analysis shows that the model specifications and model estimates vary with the housing price indexes.

Time‐varying connectedness of metropolitan housing markets

“…Brady (2011) introduces a dynamic spatial model with impulse response function analysis to show that diffusion of regional house prices across California counties may last up to two and half years. In a related replication study of Brady (2011), Shen and Pang (2018) highlight the sensitivity of the results to use of different house price indices.…”