Open Access
Housing Price Dynamics in the Greater Los Angeles Metropolitan Region
James Estes,Greg M. Richey +1 more
- 01 Jan 2009
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TL;DR: The authors found evidence for a ripple effect in the housing prices in five southern California counties in the Los Angeles metropolitan region, including Los Angeles County, Orange County, Ventura County, Riverside County, and San Bernardino County.
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Abstract: This study finds evidence for a ripple effect in the housing prices in five southern California counties in the Los Angeles metropolitan region. Specifically, housing prices in Los Angeles County and Orange County, the traditional business centers in the region, Granger-cause those in Ventura County, Riverside County, and San Bernardino County. However, there is no Granger-causal relation in housing prices between Los Angeles County and Orange County. Empirical evidence also shows that housing prices in several metropolitan statistical areas in the Los Angeles metropolitan region are co-integrated, which makes it possible to exploit the long-run equilibrium relation in forecasting housing prices within the region.
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Citations
Foreign Liquidity and Ripple Effect to Singapore Housing Market
Wen-Chi Liao,Daxuan Zhao,Li Ping Lim,Grace Khei,Mie Wong +4 more
- 01 Jan 2012
TL;DR: In this article, a structural vector autoregressive model was used to analyze the relationship between foreign buyers' property acquisitions and regional house price movements in Singapore, showing that foreign liquidity to real estate also largely affects the suburban market, even though foreign buyers are inactive there.
3
References
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TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.
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Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
S Johansen
- 19 Oct 2012
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
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Regional House Prices and the Ripple Effect: A New Interpretation
TL;DR: In this paper, a new model of house prices for the regions in Great Britain is devised and estimated in which the coefficients exhibit non-random spatial patterns, reflecting structural differences between the regions and it is shown, through simulations, that the model can generate a ripple effect irrespective of regional growth patterns.
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•Posted Content
Housing Price Dynamics within a Metropolitan Area
TL;DR: The authors analyzes the pattern of cross-sectional house price appreciation in the Boston metropolitan area from 1982 to 1994 and finds that house prices in towns with a large share of residents working in the manufacturing sector in 1980 grew less quickly in the ensuing years when aggregate manufacturing employment fell.
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