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Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries
Journal of Housing Economics ( IF 1.4 ) Pub Date : 2021-01-14 , DOI: 10.1016/j.jhe.2021.101748
Ghislain Nono Gueye

We use data from 20 OECD countries to show strong evidence for the existence of cross-section dependence in international housing prices. This structural relationship is important to consider when studying housing prices panels. First, we implement first-generation tests (tests which assume cross-section independence) and find no evidence for stationarity or cointegration. However, we find strong evidence for stationarity and cointegration when we employ second-generation tests (tests which assume cross-section dependence). The spurious results of the former tests may lead researchers on housing prices dynamics to inaccurate conclusions with the potential to ill-inform policy-makers.



中文翻译:

房价与宏观经济的协整分析中的陷阱:经合组织国家的证据

我们使用来自20个经合组织国家的数据来证明国际住房价格中存在横断面依赖的有力证据。在研究房价小组时,这种结构关系很重要。首先,我们实施第一代测试(假设横截面独立的测试),没有发现平稳性或协整性的证据。但是,当我们使用第二代测试(假设横截面相关的测试)时,我们发现了平稳性和协整性的有力证据。以前测试的虚假结果可能导致研究人员对房价动态进行错误的结论,从而有可能误导决策者。

更新日期:2021-01-20
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