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dc.contributor.authorStock, James H.
dc.contributor.authorWatson, Mark
dc.date.accessioned2016-09-13T18:39:19Z
dc.date.issued2008
dc.identifier.citationStock J, Watson M. 2008. "The Evolution of National and Regional Factors in U.S. Housing Construction." Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, eds. Bollerslev T, Russell J, Watson M. Oxford: Oxford University Press.en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:28468706
dc.description.abstractThis paper presents and describes a newly available data set on monthly building permits for U.S. states from 1969-2007. These data are used to estimate regions of common housing construction activity. Building permits exhibit substantial comovement across states, and these comovements are modeled as being associated with a national factor, a regional factor, and a state-specific disturbance. When stochastic volatility is added to this state building permit dynamic factor model, the decline in the volatility in state permits is found to be associated with a sharp decline in the mid-1980s in the volatility of the national factor and with a slow, steady decline in the volatility of the state-specific component, with these two sources contributing approximately equally for a typical state. The timing of the sharp reduction in volatility of the national component coincides with break dates previously identified for the Great Moderation in U.S. economic activity.en_US
dc.description.sponsorshipEconomicsen_US
dc.language.isoen_USen_US
dc.publisherOxford University Pressen_US
dc.relation.isversionofdoi:10.1093/acprof:oso/9780199549498.003.0003en_US
dash.licenseOAP
dc.subjectdynamic factor modelen_US
dc.subjectstochastic volatilityen_US
dc.titleThe Evolution of National and Regional Factors in U.S. Housing Constructionen_US
dc.typeMonograph or Booken_US
dc.description.versionAccepted Manuscripten_US
dc.relation.journalVolatility and Time Series Econometricsen_US
dash.depositing.authorStock, James H.
dc.date.available2016-09-13T18:39:19Z
dc.relation.bookVolatility and Time Series Econometrics: Essays in Honor of Robert F. Engleen_US
dc.identifier.doi10.1093/acprof:oso/9780199549498.003.0003*
dash.contributor.affiliatedStock, James


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