measuring the diffusion of housing prices across space and over time: replication and further evidence (replication data)

Brady (Journal of Applied Econometrics, 2011, 26(2), 213-231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the impulse response functions using a spatial autoregressive model (SAR). This paper replicates Brady's empirical results, but reports different SAR test statistics. Additional robustness checks are conducted by analyzing three different housing price indexes covering a more extensive period. Analysis shows that the model specifications and model estimates vary with the housing price indexes.