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Multivariate simultaneous generalized ARCH. Temporal and spatial information diffusion in real estate price changes and variances. Econometric Reviews, 5(1), 51–56.ĭolde, W., & Tirtiroglue, D. Modeling the persistence of conditional variances: comment. Journal of the American Statistical Association, 74, 427–431.ĭiebold, F.
#PERRON 1989 STRUCTURAL BREAK TEST IN EVIEWS 9 SERIES#
Distribution of the estimators for autoregressive time series with a unit root. The Journal of Real Estate Finance and Economics, 53(1), 1–28.ĭickey, D. Long-run equilibrium shift and short-run dynamics of US home price tiers during the housing bubble. The Journal of Real Estate Finance and Economics, 40(1), 77–88.ĭamianov, D. Structural breaks and the convergence of regional house prices.
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Journal of Urban Economics, 66(2), 90–102.Ĭanarella, G., Miller, S., & Pollard, S. What moves housing markets: a variance decomposition of the rent–price ratio. Was there a British house price bubble? Evidence from a regional panel, centre for economic policy research (CEPR) discussion paper 5619. Cambridge: Cambridge University Press.Ĭameron, G., Muellbauer, J., & Murphy, A. A capital asset pricing model with time varying covariances. International Economics and Economic Policy, 13(3), 467–482.īollerslev, T., Engle, R. A multivariate analysis of United States and global real estate investment trusts. Journal of Business and Economic Statistics, 10, 271–287.īegiazi, K., Asteriou, D., & Pilbeam, K. Recursive and sequential tests of the unit root and trend-break hypothesis: theory and international evidence. Journal of Applied Econometrics, 18(1), 1–22.īanerjee, A., Lumsdaine, R. Computation and analysis of multiple structural change models. Estimating and testing linear models with multiple structural changes. Estimating multiple breaks one at a time. Journal of Real Estate Portfolio Management, 21(1), 53–60.īai, J. Dynamic co-movements between economic policy uncertainty and housing market returns. Tests for parameter instability and structural change with unknown change point. Our results have significant implications for appropriate economic policy selection and investment management.Īndrews, D. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types.
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Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market.