Aggregate and regional house price to earnings ratio dynamics in the UK
Gregoriou, A., Kontonikas, A. and Montagnoli, A.
(2014)
Aggregate and regional house price to earnings ratio dynamics in the UK.
Urban Studies, 51 (13).
2916 - 2927.
ISSN 0042-0980
Abstract
This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.
This is an author produced version of a paper subsequently published in Urban Studies. Uploaded in accordance with the publisher's self-archiving policy.
Keywords:
economics; housing; methods; time series; unit root test
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