HousePricesUS: House Prices Data
In pder: Panel Data Econometrics with R

Description Usage Format Source References Examples

yearly observations of 49 regions from 1976 to 2003

number of observations : 1421

number of time-series : 29

country : United States

package : hedprice

JEL codes: C51, R31

Chapter : 09, 10

1	data(HousePricesUS)

A dataframe containing:

state: state index
year: year
names: state name
plate: state number plate index
region: region index
region.name: region name
price: real house price index, 1980=100
income: real per-capita income
pop: total population
intrate: real interest rate on borrowing

Journal of Applied Econometrics Data Archive : http://qed.econ.queensu.ca/jae/

Holly, S.; Pesaran, M.G. and T. Yamagata (2010) “A Spatio-temporal Model of House Prices in the USA”, Journal of Econometrics, 158(1), 160–173, doi: 10.1016/j.jeconom.2010.03.040 .

Millo, Giovanni (2015) “Narrow Replication of 'spatio-temporal Model of House Prices in the Usa', Using R”, Journal of Applied Econometrics, 30(4), 703–704, doi: 10.1002/jae.2424 .

#### Example 4-11

## ------------------------------------------------------------------------
## Not run: 
data("HousePricesUS", package = "pder")
library("plm")
php <- pdata.frame(HousePricesUS)

## ------------------------------------------------------------------------
cbind("rho"   = pcdtest(diff(log(php$price)), test = "rho")$statistic,
      "|rho|" = pcdtest(diff(log(php$price)), test = "absrho")$statistic)

## ------------------------------------------------------------------------
regions.names <- c("New Engl", "Mideast", "Southeast", "Great Lks",
                   "Plains", "Southwest", "Rocky Mnt", "Far West")
corr.table.hp <- cortab(diff(log(php$price)), grouping = php$region,
                        groupnames = regions.names)
colnames(corr.table.hp) <- substr(rownames(corr.table.hp), 1, 5)
round(corr.table.hp, 2)

## ------------------------------------------------------------------------
pcdtest(diff(log(price)) ~ diff(lag(log(price))) + diff(lag(log(price), 2)),
        data = php)

#### Example 9-2

## ------------------------------------------------------------------------
data("HousePricesUS", package = "pder")
swmod <- pvcm(log(price) ~ log(income), data = HousePricesUS, model= "random")
mgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "mg")
coefs <- cbind(coef(swmod), coef(mgmod))
dimnames(coefs)[[2]] <- c("Swamy", "MG")
coefs

#### Example 9-3

## ------------------------------------------------------------------------

if (requireNamespace("texreg")){
    library("texreg")
    data("RDSpillovers", package = "pder")
    fm.rds <- lny ~ lnl + lnk + lnrd
    mg.rds <- pmg(fm.rds, RDSpillovers, trend = TRUE)
    dmg.rds <- update(mg.rds, . ~ lag(lny) + .)
    screenreg(list('Static MG' = mg.rds, 'Dynamic MG'= dmg.rds), digits = 3)
    if (requireNamespace("msm")){
        library("msm")
        b.lr <- coef(dmg.rds)["lnrd"]/(1 - coef(dmg.rds)["lag(lny)"])
        SEb.lr <- deltamethod(~ x5 / (1 - x2),
                              mean = coef(dmg.rds), cov = vcov(dmg.rds))
        z.lr <- b.lr / SEb.lr
        pval.lr <- 2 * pnorm(abs(z.lr), lower.tail = FALSE)
        lr.lnrd <- matrix(c(b.lr, SEb.lr, z.lr, pval.lr), nrow=1)
        dimnames(lr.lnrd) <- list("lnrd (long run)", c("Est.", "SE", "z", "p.val"))
        round(lr.lnrd, 3)
    }
}


#### Example 9-4

## ------------------------------------------------------------------------
housep.np <- pvcm(log(price) ~ log(income), data = HousePricesUS, model = "within")
housep.pool <- plm(log(price) ~ log(income), data = HousePricesUS, model = "pooling")
housep.within <- plm(log(price) ~ log(income), data = HousePricesUS, model = "within")

d <- data.frame(x = c(coef(housep.np)[[1]], coef(housep.np)[[2]]), 
                coef = rep(c("intercept", "log(income)"), 
                           each = nrow(coef(housep.np))))
if (requireNamespace("ggplot2")){
    library("ggplot2")
    ggplot(d, aes(x)) + geom_histogram(col = "black", fill = "white", bins = 8) +
        facet_wrap(~ coef, scales = "free") + xlab("") + ylab("")
}


## ------------------------------------------------------------------------
summary(housep.np)

## ------------------------------------------------------------------------
pooltest(housep.pool, housep.np)
pooltest(housep.within, housep.np)


#### Example 9-5

## ------------------------------------------------------------------------
library("texreg")
cmgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "cmg")
screenreg(list(mg = mgmod, ccemg = cmgmod), digits = 3)

#### Example 9-6

## ------------------------------------------------------------------------
ccemgmod <- pcce(log(price) ~ log(income), data=HousePricesUS, model="mg")
summary(ccemgmod)

## ------------------------------------------------------------------------
ccepmod <- pcce(log(price) ~ log(income), data=HousePricesUS, model="p")
summary(ccepmod)



#### Example 9-8

## ------------------------------------------------------------------------
data("HousePricesUS", package = "pder")
price <- pdata.frame(HousePricesUS)$price
purtest(log(price), test = "levinlin", lags = 2, exo = "trend")
purtest(log(price), test = "madwu", lags = 2, exo = "trend")
purtest(log(price), test = "ips", lags = 2, exo = "trend")


#### Example 9-9

## ------------------------------------------------------------------------
tab5a <- matrix(NA, ncol = 4, nrow = 2)
tab5b <- matrix(NA, ncol = 4, nrow = 2)

for(i in 1:4) {
    mymod <- pmg(diff(log(income)) ~ lag(log(income)) + 
                 lag(diff(log(income)), 1:i),
                 data = HousePricesUS,
                 model = "mg", trend = TRUE)
    tab5a[1, i] <- pcdtest(mymod, test = "rho")$statistic
    tab5b[1, i] <- pcdtest(mymod, test =  "cd")$statistic
}

for(i in 1:4) {
    mymod <- pmg(diff(log(price)) ~ lag(log(price)) +
                 lag(diff(log(price)), 1:i),
                 data=HousePricesUS,
                 model="mg", trend = TRUE)
    tab5a[2, i] <- pcdtest(mymod, test = "rho")$statistic
    tab5b[2, i] <- pcdtest(mymod, test =  "cd")$statistic
}

tab5a <- round(tab5a, 3)
tab5b <- round(tab5b, 2)
dimnames(tab5a) <- list(c("income", "price"),
                        paste("ADF(", 1:4, ")", sep=""))
dimnames(tab5b) <- dimnames(tab5a)

tab5a
tab5b

## ------------------------------------------------------------------------
php <- pdata.frame(HousePricesUS)
cipstest(log(php$price), type = "drift")
cipstest(diff(log(php$price)), type = "none")

## ------------------------------------------------------------------------
cipstest(resid(ccemgmod), type="none")
cipstest(resid(ccepmod), type="none")


#### Example 10-2

## ------------------------------------------------------------------------
data("usaw49", package="pder")
library("plm")
php <- pdata.frame(HousePricesUS)
pcdtest(php$price, w = usaw49)

## ------------------------------------------------------------------------

if (requireNamespace("splm")){
    library("splm")
    rwtest(php$price, w = usaw49, replications = 999)
}

## ------------------------------------------------------------------------
mgmod <- pmg(log(price) ~ log(income), data = HousePricesUS)
ccemgmod <- pmg(log(price) ~ log(income), data = HousePricesUS, model = "cmg")
pcdtest(resid(ccemgmod), w = usaw49)
rwtest(resid(mgmod), w = usaw49, replications = 999)

## End(Not run)