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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

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

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

(p.35) 3 The Evolution of National and Regional Factors in US Housing Construction*
Volatility and Time Series Econometrics

James H. Stock

Mark W. Watson (Contributor Webpage)

Oxford University Press

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

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