The Evolution of National and Regional Factors in US Housing Construction*

James H. Stock and Mark W. Watson

in Volatility and Time Series Econometrics

Published in print March 2010 | ISBN: 9780199549498
Published online May 2010 | e-ISBN: 9780191720567 | DOI:

Series: Advanced Texts in Econometrics

 The Evolution of National and Regional Factors in US Housing Construction*

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This chapter builds on Engle's work and examines the coevolution of state-level building permits for residential units. The aim is to provide new findings concerning the link between housing construction, as measured by building permits, and the decline in US macroeconomic volatility, from the mid-1980s through the end of a sample in 2007, often called the Great Moderation. The chapter is organized as follows. Section 2 describes the state-level building permits data set, along with initial descriptive statistics. Section 3 introduces the DFM-SV model. Section 4 contains the empirical results, and Section 5 concludes.

Keywords: state building permits; DFM-SV model; great moderation; housing construction; residential construction; macroeconomic volatility

Chapter.  11100 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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