history versus expectations: an empirical investigation

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WORKING PAPER History versus Expectations: an Empirical Investigation Timothy F. Harris Brown Brothers Harriman & Co. and Yannis M. Ioannides Department of Economics Tufts University Discussion Paper 2000-14 Department of Economics Tufts University Department of Economics Tufts University Medford, MA 02155 (617) 627-3560 brought to you by CORE View metadata, citation and similar papers at core.ac.uk provided by Research Papers in Economics

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Page 1: History versus Expectations: an Empirical Investigation

WORKING PAPER

History versus Expectations: an Empirical Investigation

Timothy F. HarrisBrown Brothers Harriman & Co.

and

Yannis M. IoannidesDepartment of Economics

Tufts University

Discussion Paper 2000-14Department of Economics

Tufts University

Department of EconomicsTufts University

Medford, MA 02155(617) 627-3560

brought to you by COREView metadata, citation and similar papers at core.ac.uk

provided by Research Papers in Economics

Page 2: History versus Expectations: an Empirical Investigation

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Page 3: History versus Expectations: an Empirical Investigation

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Ô�ñ

Page 17: History versus Expectations: an Empirical Investigation

Descriptive Statistics

Variable Obs Mean Std. Dev. Min Maxpop 161 896167.2 1283563 79250 8863164lpop 161 831550.1 1255121 84784 9120346l2pop 161 746180.6 1327609 71047 1.16E+07l3pop 161 630855.4 1211201 64630 1.07E+07l4pop 161 516869.4 1218666 56141 1.29E+07mdvalde 161 64342.5 39049.81 29303.75 299923.5lvalue 161 56533.05 18086.76 33373.79 168446.6l2value 161 43096.59 11885.09 20479.38 129270.6l3value 161 40267.75 9266.516 16891.89 96621.63l4value 161 32646.45 7896.348 9037.345 63767.64mdrntde 161 324.9155 72.07506 212.7008 645.7537lrent 161 283.3399 33.43498 205.0971 413.835l2rent 161 266.9367 46.79602 152.0619 417.5258l3rent 161 231.5973 34.30531 131.7568 331.0811l4rent 161 169.0212 27.81424 76.30705 251.2448realfarm 160 1018.723 1000.949 111.7955 5323.752lrlfrm 160 1400.248 690.4677 203.8798 3220.555l2rlfrm 160 885.9879 454.3873 163.2989 2180.167l3rlfrm 160 622.0113 316.0447 92.85788 1452.615l4rlfrm 160 467.824 232.3587 73.40884 1074.626density 161 531.7025 705.8572 31.8 7447.6ldens 161 491.2375 635.0685 29.51999 6601.531l2dens 161 535.8944 601.4226 22 5419l3dens 161 575.9503 610.8482 20 4977l4dens 161 520.9006 581.9254 14 3645

21

Page 18: History versus Expectations: an Empirical Investigation

Table 1 - Granger causality regressionsbetween population and real farm land prices

(1) Dependent Variable: (2) Dependent Variable:real farmland values population

first lag 0.0661 first lag 0.8579farm values (0.1105) population (0.1679)

not* 1%second lag 2.0997 second lag 0.4880farm values (0.2163) population (0.3693)

1% notthird lag -1.1773 third lag -0.0319

farm values (0.1797) population (0.2395)1% not

fourth lag 0.5057 fourth lag -0.3914farm values (0.4173) population (0.121)

not 1%first lag 0.0005 first lag -113.1932

population (0.0003) farm values (55.8724)not 5%

second lag -0.0016 second lag 180.6013population (0.0007) farm values (109.4178)

5% notthird lag 0.0007 third lag 13.2246

population (0.0005) farm values (90.9085)not not

fourth lag 0.0005 fourth lag -121.9309population (0.0002) farm values (211.0436)

5% not

N 160 N 160

Adj Rsq 0.7741 Adj Rsq 0.9638

F-Test on the four lags of population: F-Test on the four lags of real farm land values:

F(4,151) = 2.61 F(4,151) = 1.33Prob > F = 0.0378 Prob > F = 0.2613

* Significance levels are indicated as 1%, 5%, 10%, or not

16

Page 19: History versus Expectations: an Empirical Investigation

Table 2 - Granger causality regressionsbetween population and real farm land prices

while controlling for density(3) Dependent Variable: (4) Dependent Variable:

real farmland values populationfirst lag 0.1278 first lag 0.9091

farm values (0.1006) population (0.1807)not 1%

second lag 1.7270 second lag 0.3478farm values (0.2029) population (0.4209)

1% notthird lag -0.8986 third lag 0.1069

farm values (0.1632) population (0.2747)1% not

fourth lag -0.0733 fourth lag -0.4825farm values (0.3706) population (0.1388)

not 1%first lag 0.0004 first lag -96.7837

population (0.0003) farm values (58.445)not 10%

second lag -0.0013 second lag 116.2231population (0.0007) farm values (117.8775)

10% notthird lag 0.0007 third lag 40.1264

population (0.0005) farm values (94.8284)not not

fourth lag 0.0000 fourth lag -150.8157population (0.0002) farm values (215.3537)

not notfirst lag 0.4636 first lag 130.9225density (0.258) density (149.9275)

10% notsecond lag 0.4564 second lag -46.3348

density (0.2767) density (160.7837)10% not

third lag -0.3389 third lag 180.2373density (0.2192) density (127.3483)

not notfourth lag 0.3148 fourth lag -178.3598density (0.1451) density (84.2923)

5% 5%

N 160 N 160

Adj Rsq 0.8304 Adj Rsq 0.9641

F-Test on the four lags of population: F-Test on the four lags of real farm land values:

F(4,147) = 9.88 F(4,147) = 1.26Prob > F = 0 Prob > F = 0.2877

17

Page 20: History versus Expectations: an Empirical Investigation

Table 3 - Granger causality regressionsbetween population and real median housing values

(5) Dependent Variable: (6) Dependent Variable:median housing values populationfirst lag 1.1218 first lag 0.7309housing (0.1673) population (0.16)values 1% 1%

second lag 2.9371 second lag 0.9245housing (0.3969) population (0.3378)values 1% 1%

third lag -2.9920 third lag -0.2607housing (0.5583) population (0.2212)values 1% not

fourth lag 0.8620 fourth lag -0.5031housing (0.4627) population (0.1179)values 10% 1%first lag -0.0084 first lag 0.9939

population (0.012) housing (2.2251)not values not

second lag -0.0272 second lag 3.9403population (0.0254) housing (5.28)

not values notthird lag 0.0454 third lag -1.0338

population (0.0166) housing (7.4266)1% values not

fourth lag -0.0056 fourth lag -10.7215population (0.0089) housing (6.1546)

not values 10%

N 161 N 161

Adj Rsq 0.7836 Adj Rsq 0.9646

F-Test on the four lags of population: F-Test on four lags of median housing values:

F(4,152) = 3.3 F(4,152) = 1.61Prob > F = 0.0126 Prob > F = 0.1754

18

Page 21: History versus Expectations: an Empirical Investigation

Table 4 - Granger causality regressionsbetween population and real median housing values

while controlling for density(7) Dependent Variable: (8) Dependent Variable:

housing values populationfirst lag 1.1978 first lag 0.7698housing (0.162) population (0.169)values 1% 1%

second lag 1.8388 second lag 0.8895housing (0.3919) population (0.3758)values 1% 5%

third lag -2.2834 third lag -0.2200housing (0.5263) population (0.2495)values 1% not

fourth lag 0.4239 fourth lag -0.6053housing (0.4341) population (0.1307)values not 1%first lag -0.0049 first lag 0.9276

population (0.0112) housing (2.4462)not values not

second lag -0.0184 second lag 0.2614population (0.0249) housing (5.9166)

not values notthird lag 0.0426 third lag -0.4491

population (0.0165) housing (7.9466)1% values not

fourth lag -0.0296 fourth lag -9.3578population (0.0087) housing (6.5537)

1% values notfirst lag 32.1942 first lag 121.0293density (9.9955) density (150.9084)

1% notsecond lag 7.0249 second lag 38.3921

density (10.7351) density (162.0736)not not

third lag 4.3721 third lag 122.4218density (8.7397) density (131.9486)

not notfourth lag -7.0044 fourth lag -156.5834density (5.835) density (88.0943)

not 10%

N 161 N 161

Adj Rsq 0.834 Adj Rsq 0.965

F-Test on the four lags of population: F-Test on the four lags of housing values:

F(4,148) = 9.09 F(4,148) = 1.53Prob > F = 0 Prob > F = 0.1972

19

Page 22: History versus Expectations: an Empirical Investigation

Table 5 - Granger causality regressionsbetween population and real median gross rent

(9) Dependent Variable: (10) Dependent Variable:median gross rent population

first lag 1.1363 first lag 0.7452gross (0.2065) population (0.1633)rent 1% 1%

second lag 0.9398 second lag 0.8394gross (0.2347) population (0.3435)rent 1% 1%

third lag -0.7297 third lag -0.2180gross (0.3078) population (0.2282)rent 5% not

fourth lag -0.2031 fourth lag -0.4747gross (0.2449) population (0.1198)rent not 1%

first lag -0.000061 first lag 2261.0420population (0.00003) gross (1120.495)

5% rent 5%second lag 0.000062 second lag -1173.9870population (0.000063) gross (1273.655)

not rent notthird lag 0.000049 third lag -181.9569

population (0.000042) gross (1669.879)not rent not

fourth lag -0.000051 fourth lag -774.0481population (0.000022) gross (1328.539)

5% rent not

N 161 N 161

Adj Rsq 0.6159 Adj Rsq 0.9643

F-Test on the four lags of population: F-Test on four lags of median gross rent:

F(4,152) = 2.44 F(4,152) = 1.37Prob > F = 0.0491 Prob > F = 0.2459

20

Page 23: History versus Expectations: an Empirical Investigation

Table 6 - Granger causality regressionsbetween population and real median gross rents

while controlling for density(11) Dependent Variable: (12) Dependent Variable:

gross rents populationfirst lag 0.9527 first lag 0.7745gross (0.1689) population (0.1732)rent 1% 1%

second lag 0.4176 second lag 0.8536gross (0.1988) population (0.3843)rent 5% 5%

third lag -0.3007 third lag -0.2263gross (0.2553) population (0.2608)rent not not

fourth lag -0.2908 fourth lag -0.5519gross (0.2007) population (0.1299)rent not 1%

first lag -0.000038 first lag 1878.2130population (0.000026) gross (1146.752)

not rent 10%second lag 0.000098 second lag -1532.2820population (0.000057) gross (1349.654)

10% rent notthird lag 0.000005 third lag -66.6730

population (0.000038) gross (1733.437)not rent not

fourth lag -0.000107 fourth lag -275.2927population (0.000019) gross (1362.94)

1% rent notfirst lag 0.0755 first lag 74.3259density (0.0216) density (146.6426)

1% notsecond lag 0.0358 second lag 54.7617

density (0.024) density (162.9433)not not

third lag -0.0159 third lag 96.9158density (0.019) density (128.771)

not notfourth lag 0.0001 fourth lag -168.2271density (0.0127) density (86.4047)

not 5%

N 161 N 161

Adj Rsq 0.7564 Adj Rsq 0.9646

F-Test on the four lags of population: F-Test on the four lags of median gross rent:

F(4,148) = 13.95 F(4,148) = 1.1Prob > F = 0 Prob > F = 0.3587

21

Page 24: History versus Expectations: an Empirical Investigation

TUFTS UNIVERSITYECONOMICS DEPARTMENT

DISCUSSION PAPERS SERIES 2000

2000-14 Timothy F. HARRIS and Yannis M. IOANNIDES; History versus Expectations: an Empirical Investigation

2000-13 George NORMAN; Internalization Revisited

2000-12 Yannis M. IOANNIDES and Jeffrey E. ZABEL; Neighborhood Effects and HousingDemand

2000-11 Carlo CARRARO and Gilbert E. METCALF; Behavioral and Distributional Effects ofEnvironmental Policy: Introduction

2000-10 Lynne PEPALL and George NORMAN; Product Differentiation and Upstream-Downstream Relations

2000-09 Edward KUTSOATI; Debt-Contingent Inflation Contracts and Targeting

2000-08 Yannis M. IOANNIDES and George PETRAKOS; Regional Disparities in Greeceand The Performance of Crete, Peloponnese and Thessaly.

2000-07 Hans H. HALLER and Yannis M. IOANNIDES; Propaedeutics of Strategic Theoriesof Economic Integration.

2000-06 Yannis M. IOANNIDES and Henry G. OVERMAN; Zipf's Law For Cities: AnExplanation.

2000-05 Drusilla K. BROWN; International Trade And Core Labor Standards A Survey OfThe Recent Literature.

2000-04 Gilbert E. METCALF; Environmental Levies and Distortionary Taxation: Pigou,Taxation, and Pollution.

2000-03 Drusilla K. BROWN; International Labor Standards in the World Trade Organizationand the International Labor Organization.

2000-02 Alan V. DEARDORFF, Drusilla K. BROWN, and Robert M. STERN; Computational

Page 25: History versus Expectations: an Empirical Investigation

Analysis of the Government Of India’s Market Opening Initiatives.

2000-01 Drusilla K. BROWN and Robert M. STERN; Measurement and Modeling of theEconomic Effects of Trade and Investment Barriers in Services.

Discussion Papers are available on-line at

http://ase.tufts.edu/econ/papers