Skip to main content
SpringerLink
Log in

Spectral Analysis and Other Pairwise Techniques

  • Chapter
  • First Online:
Cycles in the UK Housing Economy

  • 513 Accesses

Abstract

The examination of data entails spectral analysis, a time series approach in the frequency domain. The issue of de-trending data is discussed in terms of high-pass filtering. Spectral analysis will be discussed. This includes an exposition of the power spectrum, phase, and coherence. Innovations in the areas of adjusted gain, cohesion, and synchronicity are also outlined. The latter is a new measure that complements cohesion. Long-run relations are assessed using unit root tests. These are discussed in terms of recent innovations in pairwise econometric work due to Pesaran.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 44.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Hardcover Book
USD 59.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  • Abbott, A., & De Vita, G. (2013). Testing for long-run convergence across regional house prices in the UK: A pairwise approach. Applied Economics, 45, 1227–1238.

    Article  Google Scholar 

  • Benito, A. (2006, March). How does the Down-Payment Constraint Affect the UK Housing Market (Bank of England Working Paper 294).

    Google Scholar 

  • Canova, F. (1999). Does detrending matter for the determination of the reference cycle and the selection of turning point? The Economic Journal, 109, 125–150.

    Article  Google Scholar 

  • Carvalho, V., & Harvey, A. (2005). Growth, cycles and convergence in US regional time series. International Journal of Forecasting, 21, 667–686.

    Article  Google Scholar 

  • Chatfield, C. (1989). The analysis of time series (3rd ed.). Chapman and Hall: London.

    Google Scholar 

  • Cogley, T., & Nason, J. (1995). Effects of the Hodrick-Pescott filter on trend and difference stationary time series: Implications for business cycle research. Journal of Economic Dynamics and Control, 19, 253–278.

    Article  Google Scholar 

  • Croux, C., Forni, M., & Reichlin, L. (2001). A measure of comovement for economic variables: Theory and empirics. Review of Economics and Statistics, 83, 232–241.

    Article  Google Scholar 

  • Dunn, R. (1983). Spectral analysis and distributed lags in geographical studies of local unemployment: 1. Spectral and Cross Spectral Analysis, Environment and Planning A, 15, 969–985.

    Google Scholar 

  • Granger, C. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.

    Article  Google Scholar 

  • Granger, C. (1988). Recent developments in a concept of causality. Journal of Econometrics, 39, 199–211.

    Article  Google Scholar 

  • Gray, D. (2013). House price diffusion: An application of spectral analysis to the prices of Irish second-hand dwellings. Housing Studies, 28(7), 869–890.

    Article  Google Scholar 

  • Gray, D. (2015). Hidden properties of Irish house price vintages. Housing Studies, 30(8), 1317–1353.

    Article  Google Scholar 

  • Guay, A., & St-Amant, P. (2005). Do the Hodrick-Pescott and Baxter King filters provide a good approximation of business cycles? Annales D’Economie et de Statistique, 77, 133–155.

    Article  Google Scholar 

  • Hamilton, J. (1994). Time series analysis. Princeton, NJ: Princeton University Press.

    Google Scholar 

  • Harvey, A. (1993). Time series models. London: Harvester Wheatsheaf.

    Google Scholar 

  • Harvey, A., & Trimbur, T. (2008). Trend estimation and the Hodrick-Prescott filter. Journal of the Japan Statistical Society, 38(1), 41–49.

    Article  Google Scholar 

  • Holmes, M. (2007). How convergent are regional house prices in the United Kingdom? Some new evidence from panel data unit root testing. Journal of Economic and Social Research, 9(1), 1–17.

    Google Scholar 

  • Holmes, M., & Grimes, A. (2008). Is there long-run convergence among regional house prices in the UK? Urban Studies, 45(8), 1531–1544.

    Article  Google Scholar 

  • Hughes-Hallett, A., & Richter, C. (2004). Spectral analysis as a tool for financial policy: An analysis of the short-end of the British term structure. Computational Economics, 23, 271–288.

    Article  Google Scholar 

  • Igan, D., Kabundi, A., Nadal De Simine, F., Pinheiro, M., & Tamirisa, N. (2011). Housing, credit, and real activity cycles: Characteristics and comovements. Journal of Housing Economics, 20, 210–231.

    Article  Google Scholar 

  • King, R., & Rebelo, S. (1993). Low frequency filtering and real business cycles. Journal of Economic Dynamics and Control, 17(1–2), 207–231.

    Article  Google Scholar 

  • Kwiatkowski, D., Phillips, P. C. B., Scmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159–178.

    Article  Google Scholar 

  • Levy, D. (1994). Output, capital and labor in the short and long run. Southern Economic Journal, 60(4), 946–960.

    Article  Google Scholar 

  • Levy, D., & Dezhbakhshb, H. (2003). International evidence on output fluctuation and shock persistence. Journal of Monetary Economics, 50, 1499–1530.

    Article  Google Scholar 

  • Liow, K. (2007). Cycles and common cycles in real estate markets. International Journal of Managerial Finance, 3(3), 287–305.

    Article  Google Scholar 

  • Lütkepohl, H. (1982). Non-causality due to omitted variables. Journal of Econometrics, 19, 367–378.

    Article  Google Scholar 

  • Marchand, C. (1981). Maximum entropy spectra and the spatial and temporal dimensions of economic fluctuations in an urban system. Geographical Analysis, 13, 95–116.

    Article  Google Scholar 

  • Mayer, C. (1993). Taxes, income distribution, and the real estate cycle: Why all houses do not appreciate at the same rate. New England Economic Review, May/June, 39–50.

    Google Scholar 

  • Meen, G. (1999). Regional house prices and the ripple effect: A new interpretation. Housing Studies, 14(6), 733–753.

    Article  Google Scholar 

  • Mundell, R. (1961). A theory of optimal currency areas. American Economic Review, 51, 657–664.

    Google Scholar 

  • Pakko, M. (2000). The cyclical relationship between output and prices: An analysis in the frequency domain. Journal of Money Credit and Banking, 32(3), 382–399.

    Article  Google Scholar 

  • Park, H., & Fuller, W. (1995). Alternative estimators and unit root tests for the autoregressive process. Journal of Time Series Analysis, 16, 415–429.

    Article  Google Scholar 

  • Pesaran, M. H. (2007a). A pair-wise approach to testing for output and growth convergence. Journal of Econometrics, 138, 312–355.

    Article  Google Scholar 

  • Pesaran, M. H. (2007b). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22, 265–312.

    Article  Google Scholar 

  • Phillips, P. C. B., & Jin, S. (2015). Business cycles, trend elimination, and the HP filter. Cowles Foundation Discussion Paper No. 2005, Yale University.

    Google Scholar 

  • Rosenthal, L. (1986). Regional house price interactions in the UK, 1975–81: A cross-spectral analysis. Applied Economics, 18, 1011–1023.

    Article  Google Scholar 

  • Smith, B., & Tesarek, W. (1991). House prices and regional real estate cycles: Market adjustments in houston. Real Estate Economics, 19(3), 396–416.

    Article  Google Scholar 

  • Smith, K. (2001). Pre- and post-1987 crash frequency domain analysis among pacific rim equity markets. Journal of Multinational Financial Management, 11(1), 69–87.

    Article  Google Scholar 

  • Sommervoll, D., Borgersen, T.-A., & Wennemo, T. (2010). Endogenous housing market cycles. Journal of Banking & Finance, 34(3), 557–567.

    Article  Google Scholar 

  • Sun, J., Sim, L.-L., Hin, K., & Ho, D. (2007). The cyclical association of residential housing price and consumption. Journal of Real Estate Portfolio Management, 13(3), 219–248.

    Google Scholar 

  • Tiller, R., & Bednazik, R. (1983). The behaviour of regional unemployment rates over time: Effects on dispersion and national unemployment. Journal of Regional Science, 23, 479–500.

    Article  Google Scholar 

  • Wang, P. (2003). Financial econometrics: Methods and models. London: Routledge.

    Google Scholar 

  • Wilson, P., & Okunev, J. (1999). Spectral analysis of real estate and financial assets markets. Journal of Property Investment and Finance, 17(1), 61–74.

    Article  Google Scholar 

  • Witkiewicz, W. (2002). The use of the HP-filter in construction real estate cycle indicators. Journal of Real Estate Research, 23, 65–87.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Lincoln University, Lincoln, United Kingdom

    David Gray

Authors
  1. David Gray
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to David Gray .

Rights and permissions

Reprints and permissions

Copyright information

© 2017 The Author(s)

About this chapter

Cite this chapter

Gray, D. (2017). Spectral Analysis and Other Pairwise Techniques. In: Cycles in the UK Housing Economy. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-63348-0_4

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-63348-0_4

  • Published:

  • Publisher Name: Palgrave Macmillan, Cham

  • Print ISBN: 978-3-319-63347-3

  • Online ISBN: 978-3-319-63348-0

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

Publish with us

Policies and ethics

Search

Navigation