Abstract
This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.
Original language | English |
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Journal | Urban Studies |
Volume | 51 |
Issue number | 13 |
DOIs | |
Publication status | Published - 26 Sept 2013 |
Keywords
- economics
- housing
- methods
- time series
- unit root test