Basher, S. A.; Carrion-i-Silvestre, J. L.
  • Year: 2011
    Measuring persistence of U.S. city prices: new evidence from robust tests”. Persistence and structural breaks, Empirical Economics, 41, 739-745.
    DOI: 10.1007/s00181-010-0388-1
    Abstract: This article revisits the empirical analysis in Cecchetti et al. (Int Econ Rev 43:1081–1099, 2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around 9 years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise test of price level convergence.
    http://link.springer.com/article/10.1007%2Fs00181-010-0388-1