International Economics and Economic Policy

, Volume 15, Issue 2, pp 467–481 | Cite as

A nonlinear pairwise approach for the convergence of UK regional house prices

Original Paper
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Abstract

We examine the long-run convergence across 12 UK regional house prices using a pairwise approach. The time period spans from 1983:1 to 2012:4. Linear, nonlinear and asymmetric unit root tests are considered for assessing the stationarity of all possible pairs. The test statistic for convergence is based on the percentage of unit root test rejections across all regional house price differentials. The percent of the pairs that reject the null increase from 6% in the linear ADF case to 53% for the nonlinear unit root. Probit analysis reveals that house price differentials in the South are more likely to be stationary and as a result tend to converge more compared to the North.

Keywords

Non-linear unit root tests Convergence Pair-wise approach UK house prices 

JEL classification

R1 R2 C33 

Notes

Acknowledgements

We would like to thanks participants in the EEFS 2015 conference that took place in Brussels (CEPS).

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2017

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of MacedoniaThessalonikiGreece

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