Appendix for “The Spatial Diffusion of Regional Housing Prices across U.S. States”
June 2013
Abstract
This appendix includes results referred to in Brady (2013) 1 but not included in the text
for brevity. Included is an example of more detailed structural break results; the response
of housing prices to the additional regressors in the sub-regions (corresponding to
Figures3 and 5 in the main text); results from four sub-periods separated by break dates
in 1988, 1999 and 2006; and results for the pre-1999 and post-1999 sub-period estimated
with ordinary least squares instead of instrumental variables.
Ryan R. Brady
Department of Economics
United States Naval Academy
589 McNair Road, Stop 10D
Annapolis, MD 21402-5030
410-293-6883
rbrady@usna.edu
1
Brady, Ryan, R. (2013) “The Spatial Diffusion of Regional Housing Prices across U.S. States,” United
States Naval Academy Working Paper, #2013-45.
Table of Contents
Table A.1: Structural Break Statistics and associated critical values for 49 regions . .
3
Figure A.1A: Spatial Impulse Response Functions of State Housing Prices to each
regressor: West Region . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
Figure A.1B: Spatial Impulse Response Functions of State Housing Prices to each
regressor: Midwest Region . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9
Figure A.1C: Spatial Impulse Response Functions of State Housing Prices to each
regressor: South Region . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10
Figure A.1D: Spatial Impulse Response Functions of State Housing Prices to each
regressor: Northast Region . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11
Figure A.2A: Spatial Impulse Response Functions of State Housing Prices to each
regressor: West Region (first-difference-error-correction) . . . . . . . . . . . . . . . . . . . . . .
12
Figure A.2B: Spatial Impulse Response Functions of State Housing Prices to each
regressor: Midwest Region (first-difference-error-correction) . . . . . . . . . . . . . . . . . . .
13
Figure A.2C: Spatial Impulse Response Functions of State Housing Prices to each
regressor: South Region (first-difference-error-correction) . . . . . . . . . . . . . . . . . . . . .
14
Figure A.2D: Spatial Impulse Response Functions of State Housing Prices to each
regressor: Northeast Region (first-difference-error-correction) . . . . . . . . . . . . . . . . . .
15
Figure A.2E: Spatial Impulse Response Functions of State Housing Prices to each
regressor: West Region (first-difference-error-correction) . . . . . . . . . . . . . . . . . . . . . .
16
Figure A.3A: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor in various sub-periods: all 49 regions . . . . . . . . . . . . . . . . . . . . . . .
17
Figure A.3B: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor in various sub-periods: West region. . . . . . . . . . . . . . . . . . . . . . . . .
18
Figure A.3C: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor in various sub-periods: Midwest region. . . . . . . . . . . . . . . . . . . . . . 19
...
Figure A.3D: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor in various sub-periods: South region. . . . . . . . . . . . . . . . . . . . . . . . . 20
Figure A.3E: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor in various sub-periods: Northeast region. . . . . . . . . . . . . . . . . . . . .
21
Figure A.4A: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor, all 49 regions before and after 1999: Estimated with OLS . . . . . . .
22
Figure A.4B: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor, West region before and after 1999: Estimated with OLS . . . . . . . .
23
Figure A.4C: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor, Midwest region before and after 1999: Estimated with OLS . . . . .
24
Figure A.4D: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor, South region before and after 1999: Estimated with OLS . . . . . . .
25
Figure A.4E: Spatial Impulse Response Functions of State Housing Prices to the
Spatial Regressor, Northeast region before and after 1999: Estimated with OLS . . . .
26
Table A1 Structural Break Test Statistics and associated critical values for the 49 regions
Alabama
Number of
Breaks m
1
2
3
SupF(m|0)
33.8
27.9
19
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
19.3
10.98
8.98
2.3
12.55
7.13
13.46
UDMax
33.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
34.2
12.15
# breaks
# breaks
Sequential Repartition
2
2
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
Arkansas
Number of
Breaks m
1
2
3
SupF(m|0)
46.8
28.2
20.9
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
5.9
10.98
8.98
4
12.55
7.13
13.46
UDMax
46.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
46.8
12.15
# breaks
# breaks
Sequential Repartition
1
1
Arizona
Number of
Breaks m
1
2
3
SupF(m|0)
125
50.6
35.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
9.3
10.98
8.98
9.2
12.55
7.13
13.46
UDMax
125
5% Critical
5% Critical
WDmax
Value
Value
11.16
125
12.15
# breaks
# breaks
Sequential Repartition
1
1
California
Number of
Breaks m
1
2
3
SupF(m|0)
109.5
70.4
64.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
48.1
10.98
8.98
23.1
12.55
7.13
13.46
UDMax
109.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
109.5
12.15
# breaks
# breaks
Sequential Repartition
3
3
Colorado
Number of
Breaks m
1
2
3
SupF(m|0)
66.2
42.6
48.1
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
42.5
10.98
8.98
41.4
12.55
7.13
13.46
UDMax
66.2
5% Critical
5% Critical
WDmax
Value
Value
11.16
74.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
Connecticut
Number of
Breaks m
1
2
3
SupF(m|0)
66.8
57.8
44.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
21
10.98
8.98
7.6
12.55
7.13
13.46
UDMax
66.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
70.7
12.15
# breaks
# breaks
Sequential Repartition
2
2
Delaware
Number of
Breaks m
1
2
3
SupF(m|0)
106.5
80.6
54.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
80.4
10.98
8.98
5.2
12.55
7.13
13.46
UDMax
106.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
106.5
12.15
# breaks
# breaks
Sequential Repartition
2
2
District of Columbia
Number of
Breaks m
1
2
3
SupF(m|0)
160.1
117
79.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
58.9
10.98
8.98
4.5
12.55
7.13
13.46
UDMax
160.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
160.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
Florida
Number of
Breaks m
1
2
3
SupF(m|0)
118.4
44.4
36.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
28.6
10.98
8.98
19.9
12.55
7.13
13.46
UDMax
118.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
118.4
12.15
# breaks
# breaks
Sequential Repartition
2
2
Georgia
Number of
Breaks m
1
2
3
SupF(m|0)
32.8
27.1
22.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
22
10.98
8.98
10.6
12.55
7.13
13.46
UDMax
32.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
34.9
12.15
# breaks
# breaks
Sequential Repartition
2
2
Idaho
Number of
Breaks m
1
2
3
SupF(m|0)
59.2
48.8
34
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
36.6
10.98
8.98
3.4
12.55
7.13
13.46
UDMax
59.2
5% Critical
5% Critical
WDmax
Value
Value
11.16
59.7
12.15
# breaks
# breaks
Sequential Repartition
2
2
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
Illinois
Number of
Breaks m
1
2
3
SupF(m|0)
47.4
42.5
32
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
53
10.98
8.98
13.1
12.55
7.13
13.46
UDMax
47.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
52
12.15
# breaks
# breaks
Sequential Repartition
2
2
Indiana
Number of
Breaks m
1
2
3
SupF(m|0)
19.4
10
11.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
3.4
10.98
8.98
8.2
12.55
7.13
13.46
UDMax
19.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
19.4
12.15
# breaks
# breaks
Sequential Repartition
1
1
Iowa
Number of
Breaks m
1
2
3
SupF(m|0)
36.4
22
14.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
7.3
10.98
8.98
1.9
12.55
7.13
13.46
UDMax
36.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
36.4
12.15
# breaks
# breaks
Sequential Repartition
1
1
Kansas
Number of
Breaks m
1
2
3
SupF(m|0)
33.3
28.5
19.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
24.6
10.98
8.98
2.7
12.55
7.13
13.46
UDMax
33.3
5% Critical
5% Critical
WDmax
Value
Value
11.16
34.9
12.15
# breaks
# breaks
Sequential Repartition
2
2
Kentucky
Number of
Breaks m
1
2
3
SupF(m|0)
33.8
20.4
14.4
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
6.4
10.98
8.98
2.3
12.55
7.13
13.46
UDMax
33.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
33.87
12.15
# breaks
# breaks
Sequential Repartition
1
1
Louisiana
Number of
Breaks m
1
2
3
SupF(m|0)
73
43.5
30.4
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
14.8
10.98
8.98
6.4
12.55
7.13
13.46
UDMax
73
5% Critical
5% Critical
WDmax
Value
Value
11.16
73
12.15
# breaks
# breaks
Sequential Repartition
2
2
Massachusetts
Number of
Breaks m
1
2
3
SupF(m|0)
122.1
76.3
62.9
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
27.1
10.98
8.98
16.5
12.55
7.13
13.46
UDMax
122.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
122.1
12.15
# breaks
# breaks
Sequential Repartition
3
3
Maryland
Number of
Breaks m
1
2
3
SupF(m|0)
117.8
63.4
59.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
101.6
10.98
8.98
12
12.55
7.13
13.46
UDMax
117.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
117.8
12.15
# breaks
# breaks
Sequential Repartition
2
2
Maine
Number of
Breaks m
1
2
3
SupF(m|0)
69.6
66.1
46.1
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
38.4
10.98
8.98
4.7
12.55
7.13
13.46
UDMax
69.6
5% Critical
5% Critical
WDmax
Value
Value
11.16
80.8
12.15
# breaks
# breaks
Sequential Repartition
2
2
Michigan
Number of
Breaks m
1
2
3
SupF(m|0)
33
32.2
39.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
59.9
10.98
8.98
46.5
12.55
7.13
13.46
UDMax
39.3
5% Critical
5% Critical
WDmax
Value
Value
11.16
60.6
12.15
# breaks
# breaks
Sequential Repartition
3
3
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
0
# breaks
BIC
# breaks
SIC
1
0
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
1
Minnesota
Number of
Breaks m
1
2
3
SupF(m|0)
60
31.4
33.9
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
13
10.98
8.98
2
12.55
7.13
13.46
UDMax
60
5% Critical
5% Critical
WDmax
Value
Value
11.16
60
12.15
# breaks
# breaks
Sequential Repartition
2
2
Missouri
Number of
Breaks m
1
2
3
SupF(m|0)
42.3
28.4
20.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
14.8
10.98
8.98
4.9
12.55
7.13
13.46
UDMax
42.3
5% Critical
5% Critical
WDmax
Value
Value
11.16
42.3
12.15
# breaks
# breaks
Sequential Repartition
2
2
Mississippi
Number of
Breaks m
1
2
3
SupF(m|0)
33.4
27.6
19.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
17.1
10.98
8.98
7.4
12.55
7.13
13.46
UDMax
33.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
33.7
12.15
# breaks
# breaks
Sequential Repartition
2
2
Montana
Number of
Breaks m
1
2
3
SupF(m|0)
46.7
40.1
31.5
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
23.4
10.98
8.98
16
12.55
7.13
13.46
UDMax
46.7
5% Critical
5% Critical
WDmax
Value
Value
11.16
49
12.15
# breaks
# breaks
Sequential Repartition
3
3
North Carolina
Number of
Breaks m
1
2
3
SupF(m|0)
35.9
29.8
22.4
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
24.1
10.98
8.98
10.2
12.55
7.13
13.46
UDMax
35.9
5% Critical
5% Critical
WDmax
Value
Value
11.16
36.4
12.15
# breaks
# breaks
Sequential Repartition
2
2
North Dakota
Number of
Breaks m
1
2
3
SupF(m|0)
22.4
13.1
11.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
5.8
10.98
8.98
6
12.55
7.13
13.46
UDMax
22.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
22.4
12.15
# breaks
# breaks
Sequential Repartition
1
1
Nebraska
Number of
Breaks m
1
2
3
SupF(m|0)
43.9
37.3
25.5
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
27.2
10.98
8.98
3.3
12.55
7.13
13.46
UDMax
43.9
5% Critical
5% Critical
WDmax
Value
Value
11.16
45.4
12.15
# breaks
# breaks
Sequential Repartition
2
2
New Hampshire
Number of
Breaks m
1
2
3
SupF(m|0)
83.5
70.4
50.1
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
37.9
10.98
8.98
2.8
12.55
7.13
13.46
UDMax
83.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
86.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
New Jersey
Number of
Breaks m
1
2
3
SupF(m|0)
149.4
89.9
61.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
34.2
10.98
8.98
1.9
12.55
7.13
13.46
UDMax
149.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
149.4
12.15
# breaks
# breaks
Sequential Repartition
2
2
New Mexico
Number of
Breaks m
1
2
3
SupF(m|0)
73.5
71.4
55.4
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
58.2
10.98
8.98
9.4
12.55
7.13
13.46
UDMax
73.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
87.3
12.15
# breaks
# breaks
Sequential Repartition
2
2
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
0
Nevada
Number of
Breaks m
1
2
3
SupF(m|0)
101.4
33.8
25.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
22.3
10.98
8.98
10.5
12.55
7.13
13.46
UDMax
101.4
5% Critical
5% Critical
WDmax
Value
Value
11.16
101.4
12.15
# breaks
# breaks
Sequential Repartition
2
2
New York
Number of
Breaks m
1
2
3
SupF(m|0)
118.5
95.1
61.2
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
60.5
10.98
8.98
0.2
12.55
7.13
13.46
UDMax
118.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
118.5
12.15
# breaks
# breaks
Sequential Repartition
2
2
Ohio
Number of
Breaks m
1
2
3
SupF(m|0)
23.8
14.7
13.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
6.7
10.98
8.98
10.1
12.55
7.13
13.46
UDMax
23.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
23.8
12.15
# breaks
# breaks
Sequential Repartition
1
1
Oklahoma
Number of
Breaks m
1
2
3
SupF(m|0)
33.1
26.9
17.9
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
16.9
10.98
8.98
1.1
12.55
7.13
13.46
UDMax
33.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
33.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
Oregon
Number of
Breaks m
1
2
3
SupF(m|0)
83.5
52.7
47.8
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
32.3
10.98
8.98
13
12.55
7.13
13.46
UDMax
83.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
83.5
12.15
# breaks
# breaks
Sequential Repartition
2
2
Pennsylvania
Number of
Breaks m
1
2
3
SupF(m|0)
56
97.5
52
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
86
10.98
8.98
5.74
12.55
7.13
13.46
UDMax
97.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
119.2
12.15
# breaks
# breaks
Sequential Repartition
2
2
Rhode Island
Number of
Breaks m
1
2
3
SupF(m|0)
92.3
59.3
48.8
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
43.7
10.98
8.98
19.18
12.55
7.13
13.46
UDMax
92.3
5% Critical
5% Critical
WDmax
Value
Value
11.16
92.3
12.15
# breaks
# breaks
Sequential Repartition
3
3
South Carolina
Number of
Breaks m
1
2
3
SupF(m|0)
40.6
28.7
21.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
17.3
10.98
8.98
6.8
12.55
7.13
13.46
UDMax
40.6
5% Critical
5% Critical
WDmax
Value
Value
11.16
40.6
12.15
# breaks
# breaks
Sequential Repartition
2
2
South Dakota
Number of
Breaks m
1
2
3
SupF(m|0)
25.7
14.5
10.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
2.2
10.98
8.98
2.3
12.55
7.13
13.46
UDMax
25.7
5% Critical
5% Critical
WDmax
Value
Value
11.16
25.7
12.15
# breaks
# breaks
Sequential Repartition
1
1
Tennessee
Number of
Breaks m
1
2
3
SupF(m|0)
34.8
34.3
25.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
16.6
10.98
8.98
12.1
12.55
7.13
13.46
UDMax
34.8
5% Critical
5% Critical
WDmax
Value
Value
11.16
34.8
12.15
# breaks
# breaks
Sequential Repartition
2
2
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
2
2
# breaks
BIC
# breaks
SIC
2
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
# breaks
BIC
# breaks
SIC
1
1
Texas
Number of
Breaks m
1
2
3
SupF(m|0)
38.9
34.3
29.6
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
23
10.98
8.98
18.8
12.55
7.13
13.46
UDMax
38.9
5% Critical
5% Critical
WDmax
Value
Value
11.16
45.6
12.15
# breaks
# breaks
Sequential Repartition
3
3
Utah
Number of
Breaks m
1
2
3
SupF(m|0)
22.4
57.3
73.2
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
90.8
10.98
8.98
50.3
12.55
7.13
13.46
UDMax
73.2
5% Critical
5% Critical
WDmax
Value
Value
11.16
112.7
12.15
# breaks
# breaks
Sequential Repartition
3
3
Virginia
Number of
Breaks m
1
2
3
SupF(m|0)
123.1
100
55.2
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
107.9
10.98
8.98
1.5
12.55
7.13
13.46
UDMax
123.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
123.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
Vermont
Number of
Breaks m
1
2
3
SupF(m|0)
76.1
67.2
45.5
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
53.9
10.98
8.98
2.1
12.55
7.13
13.46
UDMax
76.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
82.2
12.15
# breaks
# breaks
Sequential Repartition
2
2
Washington
Number of
Breaks m
1
2
3
SupF(m|0)
70.3
41.2
29.7
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
36.1
10.98
8.98
10.5
12.55
7.13
13.46
UDMax
70.3
5% Critical
5% Critical
WDmax
Value
Value
11.16
70.3
12.15
# breaks
# breaks
Sequential Repartition
2
2
Wisconsin
Number of
Breaks m
1
2
3
SupF(m|0)
39.5
23.9
16
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
8.4
10.98
8.98
2.1
12.55
7.13
13.46
UDMax
39.5
5% Critical
5% Critical
WDmax
Value
Value
11.16
39.5
12.15
# breaks
# breaks
Sequential Repartition
1
1
West Virginia
Number of
Breaks m
1
2
3
SupF(m|0)
27.6
24.6
16.3
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
8.7
10.98
8.98
1.4
12.55
7.13
13.46
UDMax
27.6
5% Critical
5% Critical
WDmax
Value
Value
11.16
30.1
12.15
# breaks
# breaks
Sequential Repartition
1
1
Wyoming
Number of
Breaks m
1
2
3
SupF(m|0)
47.4
58.1
41.4
5% Critical
5% Critical
SupF(m+1|m)
Value
Value
10.98
19.2
10.98
8.98
1
12.55
7.13
13.46
UDMax
58.1
5% Critical
5% Critical
WDmax
Value
Value
11.16
71.1
12.15
# breaks
# breaks
Sequential Repartition
2
2
Notes: See Bai and Perron (1998, 2003) for descriptions of each of the tests reported in this table. The last four columns refer to procedures for selecting the number of
breaks, the Sequential procedure and the Repartition procedure, followed by the Bayesian and Schwartz information criterions, respectively. For the Sequential and
Repartition numbers, the number of breaks displayed is for the five percent significance level. The results displayed are for each regional price series modeled as an
AR(1) in levels, with the break tests applied to the sample period 1987Q1 to 2011Q3. I imposed a maximum number of breaks equal to 3 and the minumum length of a
segment equals 20 percent of the sample.
Figure A.1A: Spatial Impulse Response Functions of State Housing Prices to each regressor: West Region
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
Housing Prices to Income
0.5
2
0.9
0.4
0.3
percent
1.5
0.7
0.2
0.5
0.1
1
0.3
0
-0.1
0.1
-0.2
0.5
-0.1
-0.3
0
-0.3
-0.4
-0.5
-0.5
1
3
5
7
9
11
13
15
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
3
Housing Prices to Interest Rate
5
7
9
11
13
15
Housing Prices to Consumer Price Index
3
5
4
0
3
-5
2
2
percent
1
15
1
-10
1
0
-15
-1
-20
-2
0
-1
-25
-3
-4
-30
-5
-35
1
3
5
7
9
11
13
-2
-3
1
15
3
5
7
9
11
13
15
11
13
15
1
3
5
7
9
11
13
15
Housing Prices to Population
15
percent
10
5
0
-5
-10
1
3
5
7
9
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to various regressors for the West region of the United States (defined by the U.S. Census) estimated from the dynamic panel-spatial model using the local
projection method of Jorda (2005). See text for the list of states in the region and other details.
Figure A.1B: Spatial Impulse Response Functionsof State Housing Prices to each regressor: MidWest Region
percent
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
Housing Prices to Income
0.5
0.5
1.5
0.4
0.4
1.3
0.3
0.3
1.1
0.2
0.2
0.9
0.1
0.1
0.7
0
0
0.5
-0.1
-0.1
0.3
-0.2
-0.2
0.1
-0.3
-0.3
-0.1
-0.4
-0.4
-0.3
-0.5
-0.5
1
3
5
7
9
11
13
15
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
percent
3
Housing Prices to Interest Rate
5
7
9
11
13
15
Housing Prices to Consumer Price Index
3
3
2
0
1
-5
0
-10
-1
-15
-2
-20
-3
-25
-4
-30
2
-5
1
0
-1
-2
-35
1
3
5
7
9
11
13
-3
1
15
3
5
7
9
11
13
15
11
13
15
Housing Prices to Population
11
9
7
percent
1
5
3
1
-1
-3
1
3
5
7
9
forecast horizon (quarters)
Notes: Figures calculated for the Midwest region. See notes to Figure A.1A for additional information.
1
3
5
7
9
11
13
15
Figure A.1C: Spatial Impulse Response Functions of State Housing Prices to each regressor: South Region
percent
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
0.5
0.2
0.4
0.15
0.3
0.1
0.2
0.05
0.1
0
0
-0.05
-0.1
-0.1
-0.2
-0.15
-0.3
1.5
1
0.5
0
-0.2
1
3
5
7
9
11
13
15
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
3
Housing Prices to Interest Rate
3
2
2
2
0
0
5
7
9
11
13
15
Housing Prices to Consumer Price Index
4
1
-2
-1
0
-4
-2
-1
-6
-3
-2
-8
-4
-5
-10
1
3
5
7
9
11
13
-3
1
15
3
5
7
9
11
13
15
11
13
15
Housing Prices to Population
11
9
7
percent
1
3
1
percent
Housing Prices to Income
2
5
3
1
-1
-3
1
3
5
7
9
forecast horizon (quarters)
Notes: Figures calculated for the South region. See the notes to Figure A.1A for additional information.
1
3
5
7
9
11
13
15
Figure A.1D: Spatial Impulse Response Functions of State Housing Prices to each regressor: Northeast Region
percent
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
Housing Prices to Income
3
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
2
0.1
0.1
1.5
2.5
0
0
-0.1
-0.1
1
-0.2
-0.2
0.5
-0.3
-0.3
-0.4
-0.4
-0.5
-0.5
1
3
5
7
9
11
13
15
0
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
11
13
15
3
2
0
1
-4
-5
-1
-6
-10
-2
-8
-15
-10
-20
-2
9
4
5
0
7
Housing Prices to Consumer Price Index
10
2
5
5
4
percent
3
Housing Prices to Interest Rate
15
0
1
3
5
7
9
11
13
-3
-4
-5
1
15
3
5
7
9
11
13
15
11
13
15
Housing Prices to Population
10
8
6
4
percent
1
15
2
0
-2
-4
-6
-8
-10
1
3
5
7
9
forecast horizon (quarters)
Notes: The figures calculated for the Northeast region. See notes to Figure A.1A for additional information.
1
3
5
7
9
11
13
15
Figure A.2A: Spatial Impulse Response Functions of State Housing Prices to each regressor: West Region (first-difference-error-correction)
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
percent
0.5
1
0.4
0.2
0.8
0.3
0.15
0.6
0.2
0.1
0.4
0.1
0.05
0.2
0
0
0
-0.1
-0.05
-0.2
-0.2
-0.1
-0.4
-0.3
-0.15
-0.6
-0.4
-0.2
-0.8
-0.5
-0.25
1
3
5
7
9
11
13
15
-1
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
1
2
1.5
8
1.5
6
0
0
0
-0.5
-2
-0.5
-4
-10
3
5
7
9
11
13
15
13
15
-1.5
-8
-2
11
-1
-6
-1.5
9
0.5
2
-1
7
1
4
0.5
5
Housing Prices to Consumer Price Index
10
1
3
Housing Prices to Interest Rate
2
1
percent
Housing Prices to Income
0.25
-2
1
3
5
7
9
11
13
15
11
13
15
1
3
5
7
9
11
13
15
Housing Prices to Population
5
4
3
percent
2
1
0
-1
-2
-3
-4
-5
1
3
5
7
9
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to various regressors for the West region of the United States (defined by the U.S. Census) estimated from the dynamic panel-spatial model using the local
projection method of Jorda (2005). The model is estimated in first differences controlling for cointegration. See text for the list of states in the region and other details.
Figure A.2B: Spatial Impulse Response Functionsof State Housing Prices to each regressor: MidWest Region (first-difference-error-correction)
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
0.5
percent
0.3
0.1
-0.1
-0.3
-0.5
Housing Prices to Income
0.25
1
0.2
0.8
0.15
0.6
0.1
0.4
0.05
0.2
0
0
-0.05
-0.2
-0.1
-0.4
-0.15
-0.6
-0.2
-0.8
-0.25
1
3
5
7
9
11
13
15
-1
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
5
7
9
11
13
15
Housing Prices to Consumer Price Index
1
4
0.8
2
0.6
2
0.4
1
percent
3
Housing Prices to Interest Rate
3
0
0
0.2
0
-2
-0.2
-1
-4
-2
-6
-3
-8
1
3
5
7
9
11
13
15
-0.4
-0.6
-0.8
-1
1
3
5
7
9
11
13
15
13
15
Housing Prices to Population
3
2
percent
1
1
0
-1
-2
-3
1
3
5
7
9
11
forecast horizon (quarters)
Notes: Figures calculated for the Midwest region. See notes to Figure A.2A for additional information.
1
3
5
7
9
11
13
15
Figure A.2C: Spatial Impulse Response Functionsof State Housing Prices to each regressor: South Region (first-difference-error-correction)
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
0.5
percent
0.3
0.1
-0.1
-0.3
-0.5
Housing Prices to Income
0.25
0.5
0.2
0.4
0.15
0.3
0.1
0.2
0.05
0.1
0
0
-0.05
-0.1
-0.1
-0.2
-0.15
-0.3
-0.2
-0.4
-0.25
1
3
5
7
9
11
13
15
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
5
7
9
11
13
15
Housing Prices to Consumer Price Index
1
4
0.8
1
2
0.6
0.5
0
1.5
percent
3
Housing Prices to Interest Rate
2
0.4
0
0.2
0
-2
-0.2
-0.5
-4
-1
-1.5
-6
-2
-8
1
3
5
7
9
11
13
-0.4
-0.6
-0.8
-1
1
15
3
5
7
9
11
13
15
13
15
Housing Prices to Population
3
2
percent
1
1
0
-1
-2
-3
1
3
5
7
9
11
forecast horizon (quarters)
Notes: Figures calculated for the South region. See notes to Figure A.2A for additional information.
1
3
5
7
9
11
13
15
Figure A.2D: Spatial Impulse Response Functionsof State Housing Prices to each regressor: Northeast Region (first-difference-error-correction)
Housing Prices to Spatial Regressor
Housing Prices to Housing Starts
Housing Prices to Income
0.25
0.5
0.9
0.2
0.15
percent
0.3
0.7
0.1
0.5
0.05
0.1
0.3
0
-0.05
-0.1
0.1
-0.1
-0.3
-0.15
-0.5
-0.25
-0.1
-0.3
-0.2
1
3
5
7
9
11
13
15
-0.5
1
3
Housing Prices to Unemployment Rate
5
7
9
11
13
15
5
7
9
11
13
15
Housing Prices to Consumer Price Index
5
4
4
10
3
2
percent
3
Housing Prices to Interest Rate
15
5
3
2
5
1
1
0
0
0
-1
-1
-5
-2
-3
-2
-3
-10
-4
-4
-5
-15
1
3
5
7
9
11
13
-5
1
15
3
5
7
9
11
13
15
13
15
Housing Prices to Population
3
2
percent
1
1
0
-1
-2
-3
1
3
5
7
9
11
forecast horizon (quarters)
Notes: Figures calculated for the Northeast region. See notes to Figure A.2A for additional information.
1
3
5
7
9
11
13
15
Figure A.3A: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor in various sub-periods: all 49 regions
Model-in-levels (with IV)
1981Q1 through 1987Q4
First Difference-Error Correction Specification (with IV)
1988Q1 through 1998Q4
1981Q1 through 1987Q4
0.9
1.5
1988Q1 through 1998Q4
2
2
1.5
1.5
0.7
percent
1
0.5
0.3
0.5
0.1
0
1
3
5
7
9
11
13
1
0.5
0.5
0
0
-0.5
-0.5
-0.1
-1
-1
-0.3
-1.5
-1.5
-0.5
-0.5
1
-2
-2
1
15
3
1999Q1 through 2005Q4
5
7
9
11
13
15
1
2006Q1 through 2011Q3
0.9
0.9
0.7
0.7
0.5
0.5
0.3
0.3
3
5
1999Q1 through 2005Q4
percent
0
0.1
-0.5
-0.1
-1
-0.3
-0.5
-1.5
-0.5
1
3
5
7
9
11
13
15
-2
1
forecast horizon (quarters)
3
5
7
9
11
13
15
7
1
0.5
0
-0.5
-1
-1.5
-2
-2.5
-3
1
-0.1
5
2006Q1 through 2011Q3
0.5
0.1
3
2
1.5
2
1.5
-0.3
1
7
1
3
5
7
1
3
5
7
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to the spatial regressor for the 48 contiguous United States (plus Washington D.C.) estimated over various sub-periods. Given the relatively short time dimension in each of the four sub-periods, the forecast horizon in Figures A.3A through
A.3E is restricted to eight quarters. See the text for additional information.
Figure A.3B: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor in various sub-periods: West region
First Difference-Error Correction Specification (with IV)
Model-in-levels (with IV)
percent
1981Q1 through 1987Q4
1988Q1 through 1998Q4
1988Q1 through 1998Q4
2
2
2
2
1.5
1.5
1.5
1.5
1
1
1
1
0.5
0.5
0.5
0.5
0
0
0
0
-0.5
-0.5
-0.5
-0.5
-1
-1
-1
-1
-1.5
-1.5
1
3
5
1999Q1 through 2005Q4
3
5
7
2.5
1.5
0
-0.1
-0.2
-0.3
-0.4
-0.5
1
0.5
0
-0.5
5
7
3
5
3
5
7
3
5
7
2006Q1 through 2011Q3
2
2
1.5
1.5
1
1
0.5
0.5
0
0
-0.5
-0.5
-1
-1
-1.5
-1.5
-2
1
1
7
1999Q1 through 2005Q4
0.3
0.2
0.1
2
3
1
2006Q1 through 2011Q3
0.5
0.4
3
1
-2
-2
1
7
-1.5
-1.5
-2
-2
percent
1981Q1 through 1987Q4
-2
1
3
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to the spatial regressor for the West region estimated over various sub-periods. See the text for more information.
5
7
1
forecast horizon (quarters)
3
5
7
Figure A.3C: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor in various sub-periods: Midwest region
Model-in-levels (with IV)
percent
1981Q1 through 1987Q4
1
0.5
0.8
0.4
0.6
0.3
0.4
0.2
0.2
0.1
0
0
-0.2
-0.1
-0.4
-0.2
-0.6
-0.3
-0.8
-0.4
1981Q1 through 1987Q4
1
3
5
2
2
1.5
1
0.5
0
0
-0.5
-1
-1
-2
-1.5
-2
-3
1
7
1988Q1 through 1998Q4
3
1
-0.5
-1
1999Q1 through 2005Q4
percent
First Difference-Error Correction Specification (with IV)
1988Q1 through 1998Q4
3
5
7
1
2006Q1 through 2011Q3
3
5
1
7
1999Q1 through 2005Q4
4
1.5
3
1
2
0.4
0.2
0.2
0
0
-0.2
-0.2
0
0
-0.4
-0.4
-0.5
-1
-0.6
-0.6
-1
-2
-0.8
-0.8
-1.5
3
5
7
-3
-2
1
3
5
7
7
1
0.5
-1
1
5
2006Q1 through 2011Q3
2
0.4
-1
3
-4
1
3
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to the spatial regressor for the West region estimated over various sub-periods. See the text for more information.
5
7
1
forecast horizon (quarters)
3
5
7
Figure A.3D: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor in various sub-periods: South region
Model-in-levels (with IV)
1981Q1 through 1987Q4
First Difference-Error Correction Specification (with IV)
1988Q1 through 1998Q4
0.4
1981Q1 through 1987Q4
2
2
0.4
1.5
1.5
0.2
0.3
0
0.2
percent
0.1
-0.2
-0.4
0
0
-0.5
-0.5
1
3
5
7
9
11
13
-1
-1
-1.5
-1.5
-2
-2
1
15
3
1999Q1 through 2005Q4
5
7
9
11
13
15
1
2006Q1 through 2011Q3
3
5
1999Q1 through 2005Q4
0.9
2.5
1.5
0.3
0
0.1
-0.5
0.5
-0.1
-1
0
-0.3
-1.5
-0.5
-2
-0.5
1
3
5
7
9
11
13
15
1
3
5
7
9
11
13
15
7
1
0.5
0
-0.5
-1
-1.5
-2
-2.5
-3
0.5
1
5
2006Q1 through 2011Q3
1
0.5
3
2
1.5
1.5
0.7
2
1
7
2
3
percent
0.5
-0.5
-0.4
-1
1
0.5
0
-0.3
-0.8
1
-0.1
-0.2
-0.6
1988Q1 through 1998Q4
0.5
1
3
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to the spatial regressor for the West region estimated over various sub-periods. See the text for more information.
5
7
1
forecast horizon (quarters)
3
5
7
Figure A.3E: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor in various sub-periods: Northeast region
Model-in-levels (with IV)
1981Q1 through 1987Q4
First Difference-Error Correction Specification (with IV)
1988Q1 through 1998Q4
1981Q1 through 1987Q4
1988Q1 through 1998Q4
3
0.5
0.4
0.4
0.3
0.2
2
1.5
2
0.2
1
1
0
0.5
percent
0.1
0
-0.2
-0.1
-0.4
0
-0.6
-1
-0.3
-2
-0.8
-0.4
-1
-0.5
1
3
5
3
5
7
7
5
1
7
2
1.5
1.5
1
1
0
0.5
0.5
-0.2
0
0
-0.4
-0.5
-0.5
-0.6
-1
-1
-0.8
-1.5
-1.5
-2
1
3
5
7
3
5
7
2006Q1 through 2011Q3
2
0.2
-1
5
3
1999Q1 through 2005Q4
0.4
3
-2
1
2006Q1 through 2011Q3
1.5
1.3
1.1
0.9
0.7
0.5
0.3
0.1
-0.1
-0.3
-0.5
1
-1.5
-3
1
7
1999Q1 through 2005Q4
percent
0
-0.5
-1
-0.2
-2
1
3
forecast horizon (quarters)
Notes: The figures show the response of the the FHFA housing price index to the spatial regressor for the West region estimated over various sub-periods. See the text for more information.
5
7
1
forecast horizon (quarters)
3
5
7
Firgure A.4A: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor,
all 49 regions before and after 1999: Estimated with OLS
Model-in-levels
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0
0
-0.1
-0.1
-0.2
-0.2
-0.3
-0.3
-0.4
-0.4
-0.5
-0.5
1
3
5
7
9
11
13
15
1
3
5
7
9
11
13
15
13
15
First Difference-Error Correction
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
3
5
7
9
11
13
15
1
forecast horizon (quarters)
Notes:See notes to figures in the main text for additional information.
3
5
7
9
11
Firgure A.4B: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor,
West region before and after 1999: Estimated with OLS
Model-in-levels
1981Q1 through 1998Q4
1999Q1 through 2011Q3
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
0.5
0.4
0.4
0.3
0.2
percent
0.2
0
0.1
-0.2
0
-0.1
-0.4
-0.2
-0.6
-0.3
-0.8
-0.4
-0.5
-1
1
3
5
7
9
11
13
15
1
3
5
7
9
11
13
15
13
15
First Difference-Error Correction
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
3
5
7
9
11
13
15
1
forecast horizon (quarters)
Notes: See notes to figures in the main text.
3
5
7
9
11
Firgure A.4C: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor,
Midwest region before and after 1999: Estimated with OLS
Model-in-levels
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0
0
-0.1
-0.1
-0.2
-0.2
-0.3
-0.3
-0.4
-0.4
-0.5
-0.5
1
3
5
7
9
11
13
1
15
3
5
7
9
11
13
15
13
15
First Difference-Error Correction
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
3
5
7
9
11
13
15
1
forecast horizon (quarters)
Notes: See notes to figures in the main text.
3
5
7
9
11
Firgure A.4D: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor,
South region before and after 1999: Estimated with OLS
Model-in-levels
1981Q1 through 1998Q4
1999Q1 through 2011Q3
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
0.5
0.7
0.4
0.5
0.3
percent
0.2
0.3
0.1
0.1
0
-0.1
-0.1
-0.2
-0.3
-0.3
-0.4
-0.5
-0.5
1
3
5
7
9
11
13
1
15
3
5
7
9
11
13
15
13
15
First Difference-Error Correction
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
3
5
7
9
11
13
15
1
forecast horizon (quarters)
Notes: See notes to figures in the main text.
3
5
7
9
11
Firgure A.4E: Spatial Impulse Response Functions of State Housing Prices to the Spatial Regressor,
Northeast region before and after 1999: Estimated with OLS
Model-in-levels
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
0.5
1.5
0.4
1.3
0.3
1.1
0.2
0.9
0.1
0.7
0
0.5
-0.1
0.3
-0.2
0.1
-0.3
-0.1
-0.4
-0.3
-0.5
-0.5
1
3
5
7
9
11
13
15
1
3
5
7
9
11
13
15
13
15
First Difference-Error Correction
1981Q1 through 1998Q4
1999Q1 through 2011Q3
percent
Housing Prices to Spatial Regressor
Housing Prices to Spatial Regressor
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
3
5
7
9
11
13
15
1
forecast horizon (quarters)
Notes: See notes to figures in the main text.
3
5
7
9
11