This paper provides an empirical analysis of changes in real house prices in the USA using State level data. It examines the extent to which real house prices at the State level are driven by fundamentals such as real per capita disposable income, as well as by common shocks, and determines the...

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with error cross-sectional dependence when both N and T, the cross-section and time series dimensions respectively, are large. Our approach asymptotically projects out the common...

This paper reviews and extends the literature on the finite sample behavior of tests for sample selection bias. Monte Carlo results show that, when the “multicollinearity problem” identified by Nawata (1993) is severe, (i) the t-test based on the Heckman-Greene variance estimator can be...

This paper examines “leverage” and volatility feedback effects at the firm level by considering both market and firm level effects, using 242 individual firm stock data in the US market. We adopt a panel vector autoregressive framework which allows us to control simultaneously for common...