The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets
用更强大的面板数据协整检验分析95个都市区23年的数据，发现房价与收入之间不存在长期均衡关系，质疑了文献中常用的误差修正模型。
Many in the housing literature argue that house prices and income are cointegrated. I show that the data do not support this view. Standard tests using 27 years of national-level data do not find evidence of cointegration. However, standard tests for cointegration have low power, especially in small samples. I use panel-data tests for cointegration that are more powerful than their time-series counterparts to test for cointegration in a panel of 95 metro areas over 23 years. Using a bootstrap approach to allow for cross-correlations in city-level house-price shocks, I show that even these more powerful tests do not reject the hypothesis of no cointegration. Thus the error-correction specification for house prices and income commonly found in the literature may be inappropriate.