An application of two non-parametric techniques to the prices of British dwellings: an examination of cyclicality

Gray, David (2018) An application of two non-parametric techniques to the prices of British dwellings: an examination of cyclicality. Urban Studies . ISSN 0042-0980

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Abstract

Using a Pesaran-Timmermann test of co-movement, Cook and Watson (2015) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland, and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems, empirically: its cycle is likely to be atypical as well as asynchronised.

Keywords:Spectral Analysis, Pesaran-Timmermann test, Ripple Effect
Subjects:L Social studies > L721 Economic Geography
L Social studies > L110 Applied Economics
Divisions:Lincoln International Business School
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ID Code:27011
Deposited On:20 Apr 2017 10:13

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