Gao, Andre; Lin, Zhenguo; Na, Carrie Fangzhou - In: Journal of Housing Economics 18 (2009) 3, pp. 256-266
House prices often exhibit serial correlation and mean reversion. Using two large panel datasets, this paper analyzes the price dynamics in two significantly different types of markets, cyclical (or volatile) and non-cyclical (or tame), by applying an autoregressive mean reversion (ARMR) model....