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Modelling UK house prices using cointegration: an application of the Johansen technique
Author:
Leigh Drake a
| Affiliation: | a Department of Economics, Loughborough University of Technology, Loughborough, Leicestershire, UK |
DOI:
10.1080/00036849300000183
Publication Frequency:
24 issues per year
Subjects:
Economics;
Macroeconomics;
Formats available:
PDF
(English)
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Abstract
This paper provides an econometric analysis of the long-term equilibrium determination of UK house prices using the relatively recent Johansen cointegration procedure. This long-term equilibrium specification is then utilized in order to estimate a parsimonious dynamic model for UK house prices.
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