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A note on change in persistence of U.S. city prices

  • Jorge Belaire-Franch EMAIL logo
Veröffentlicht/Copyright: 21. Dezember 2020
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Studies in Nonlinear Dynamics & Econometrics
Aus der Zeitschrift Studies in Nonlinear Dynamics & Econometrics Band 26 Heft 5

Abstract

This paper seeks to explain the high persistence in U.S. price differentials found in Cecchetti, S. G., N. C. Mark, and R. J. Sonora. 2002. “Price Index Convergence Among United States Cities.” International Economic Review 43: 1081–99, by means of the concept of change in persistence. To that end, have computed recently developed tests by Kejriwal, M., P. Perron, and J. Zhou. 2013. “Wald Tests for Detecting Multiple Structural Changes in Persistence.” Econometric Theory 29: 289–323, allowing for multiple changes in persistence under the alternative hypothesis. We conclude that change in persistence cannot be ruled out for some city price differentials.

Keywords: change in persistence; price level convergence; purchasing power parity; U.S. cities
Corresponding author: Jorge Belaire-Franch, Department of Economic Analysis, University of Valencia, Avgda. dels Tarongers s/n, 46022 Valencia, Spain, E-mail:

  1. Author contribution: All the authors have accepted responsibility for the entire content of this submitted manuscript and approved submission.

  2. Research funding: None declared.

  3. Conflict of interest statement: The authors declare no conflicts of interest regarding this article.

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Supplementary Material

The online version of this article offers supplementary material (https://doi.org/10.1515/snde-2019-0051).

Received: 2019-05-22
Accepted: 2020-12-05
Published Online: 2020-12-21

© 2020 Walter de Gruyter GmbH, Berlin/Boston

Artikel in diesem Heft

  1. Frontmatter
  2. Research Articles
  3. Transition from the Taylor rule to the zero lower bound
  4. A note on change in persistence of U.S. city prices
  5. Instability in regime switching models
  6. Testing for exuberance in house prices using data sampled at different frequencies
  7. Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
  8. A family of nonparametric unit root tests for processes driven by infinite variance innovations
  9. Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration
https://doi.org/10.1515/snde-2019-0051
Schlagwörter für diesen Artikel
change in persistence; price level convergence; purchasing power parity; U.S. cities

Artikel in diesem Heft

  1. Frontmatter
  2. Research Articles
  3. Transition from the Taylor rule to the zero lower bound
  4. A note on change in persistence of U.S. city prices
  5. Instability in regime switching models
  6. Testing for exuberance in house prices using data sampled at different frequencies
  7. Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
  8. A family of nonparametric unit root tests for processes driven by infinite variance innovations
  9. Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration
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