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Please use this identifier to cite or link to this item: http://hdl.handle.net/10204/4455

Title: Convergence of metropolitan house prices in South Africa: a re-examination using efficient unit root tests
Authors: Das, S
Gupta, R
Kaya, PA
Keywords: Efficient unit root tests
House prices
Law of one price
LOOP
Price convergence
Single market
Issue Date: 2010
Publisher: Euro-American Association of Economic Development Studies
Citation: Das, S, Gupta, R and Kaya , PA. 2010. Convergence of metropolitan house prices in South Africa: a re-examination using efficient unit root tests. Applied Econometrics and International Development, Vol. 10(1), pp 173-188
Series/Report no.: Journal Article
Abstract: This paper analyzes whether the Law of One Price (LOOP) holds in the housing market of five metropolitan areas of South Africa, namely Cape Town, Durban, Greater Johannesburg, Port Elizabeth/Uitenhage and Pretoria. The authors test the existence of LOOP using the efficient unit root tests proposed by Elliott et al. (1996) [DF-GLS] and Elliott (1999) [DF-GLSu] based on monthly data on residential property prices covering the period of 1967:01 to 2009:03 for the large-, medium and small-middle segments of the housing market. Based on the DF-GLSu test, they find overwhelming evidence of the existence of LOOP in twelve of the fifteen cases, especially as the sample periods include more recent data. More importantly, theirr results are in sharp contrast with those obtained by Burger and Van Rensburg (2008) using quarterly data to based on the Im, Pesharan and Shin (IPS, 2003) test, which are, in turn, shown to be highly sensitive to frequency of the data and temporal aggregation. With the rejection of the null hypothesis of unit roots, based on panel data tests, not providing sufficient evidence to conclude that all the series in the panels have a unit root or not, more reliability should be placed on their results obtained from the efficient unit root tests.
Description: Copyright: 2010 Euro-American Association of Economic Development Studies
URI: http://ideas.repec.org/a/eaa/aeinde/v10y2010i1_12.html
http://hdl.handle.net/10204/4455
ISSN: 1578-4487
Appears in Collections:Logistics and quantitative methods
Advanced mathematical modelling and simulation
General science, engineering & technology

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