Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function
Loading...
Date
Authors
Chang, Tsangyao
Wu, Tsung-pao
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
This study applies the sequential panel selection method (SPSM) to
investigate the time-series properties of provincial house prices for
entire, large, medium and small middle-segments of South Africa.
Quarterly time-series data were collected from nine provinces in
South Africa for different house-size categories over the period of
1978.Q1 to 2012.Q4. Whereas other panel-based unit-root tests are
joint tests of a unit root for all members of a panel and are incapable
of determining the mix of integrated of order zero (I(0)) series and
integrated of order one (I(1)) series in a panel setting, the SPSM
proposed by Chortareas and Kapetanios (2009) can clearly identify
how many and which series in the panel are stationary processes by
classifying a whole panel into a group of stationary and nonstationary
series. The empirical results from several panel-based, as well as
standard pure time-series, unit-root tests, indicate that house prices
for the nine provinces studied here are either stationary or nonstationary.
However, results from the SPSM using the panel version of the
Kapetanios et al. (KSS, 2003) test with a Fourier function unequivocally
indicate that house prices are stationary for the nine provinces
under study. Our test results
Description
Keywords
House prices, Panel KSS unit-root test, Nonstationary, Sequential panel selection method (SPSM), South African house prices
Sustainable Development Goals
Citation
Tsangyao Chang, Tsung-Pao Wu & Rangan Gupta (2015) Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function, Applied Economics, 47:1, 32-53, DOI:10.1080/00036846.2014.959657