Abstract: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 t… Show more
“…quasi-efficient), which can be captured by measuring the long-memory in the price series. (See, e.g., Cuñado et al, 2005, Liow, 2009, Ngene et al, 2015.…”
“…quasi-efficient), which can be captured by measuring the long-memory in the price series. (See, e.g., Cuñado et al, 2005, Liow, 2009, Ngene et al, 2015.…”
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