dc.contributor.author | Stock, James H. | |
dc.contributor.author | Watson, Mark | |
dc.date.accessioned | 2016-09-13T18:39:19Z | |
dc.date.issued | 2008 | |
dc.identifier.citation | Stock 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.uri | http://nrs.harvard.edu/urn-3:HUL.InstRepos:28468706 | |
dc.description.abstract | This 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.sponsorship | Economics | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | Oxford University Press | en_US |
dc.relation.isversionof | doi:10.1093/acprof:oso/9780199549498.003.0003 | en_US |
dash.license | OAP | |
dc.subject | dynamic factor model | en_US |
dc.subject | stochastic volatility | en_US |
dc.title | The Evolution of National and Regional Factors in U.S. Housing Construction | en_US |
dc.type | Monograph or Book | en_US |
dc.description.version | Accepted Manuscript | en_US |
dc.relation.journal | Volatility and Time Series Econometrics | en_US |
dash.depositing.author | Stock, James H. | |
dc.date.available | 2016-09-13T18:39:19Z | |
dc.relation.book | Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle | en_US |
dc.identifier.doi | 10.1093/acprof:oso/9780199549498.003.0003 | * |
dash.contributor.affiliated | Stock, James | |