The Evolution of National and Regional Factors in US Housing Construction

James H. Stock, Mark W. Watson

Research output: Chapter in Book/Report/Conference proceedingChapter

9 Scopus citations


This chapter builds on Engle's work and examines the coevolution of statelevel 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.

Original languageEnglish (US)
Title of host publicationVolatility and Time Series Econometrics
Subtitle of host publicationEssays in Honor of Robert Engle
PublisherOxford University Press
ISBN (Electronic)9780191720567
ISBN (Print)9780199549498
StatePublished - May 1 2010

All Science Journal Classification (ASJC) codes

  • General Economics, Econometrics and Finance


  • DFM-SV model
  • Great moderation
  • Housing construction
  • Macroeconomic volatility
  • Residential construction
  • State building permits


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