An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality. (August 2018)

• Record Type: Journal Article
• Authors: Gray, David
• Is Part Of: Urban studies. Volume 55:Number 10(2018:Aug.)
• Page Start: 2286
• Page End: 2299
• Publication Date: 2018-08
• Subjects: Pesaran-Timmermann test -- ripple effect -- spectral analysis; Pesaran-Timmermann 测试 -- 涟漪效应 -- 光谱分析; Cities and towns -- Periodicals; City planning -- Periodicals; 307.1216
• DOI: 10.1177/0042098017710381
• Languages: English
• ISSNs: 0042-0980

Abstract

Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048–3062) 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.