In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...

Long-run income convergence is investigated in the US context. We employ a novel pair-wise econometric procedure based on a probabilistic definition of convergence. The time-series properties of all the possible regional income pairs are examined by means of unit root and non-cointegration tests...

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...

The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non-linearity was found in the case of Canada. The result for the US is not so...

Long-run income convergence is investigated in the US context. We employ a novel pair-wise econometric procedure based on a probabilistic definition of convergence. The time-series properties of all the possible regional income pairs are examined by means of unit root and non-cointegration tests...

The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non-linearity was found in the case of Canada. The result for the US is not so...

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic...

We examine long-run house price convergence across the twenty Paris districts using a quarterly dataset that spans from 1991 to 2014. Our approach is based on two stages. In the first stage, we apply methods of unit root testing. Our econometric modelling exercise adopts a pair wise approach...