A data.frame containing the quarterly (mean) house prices of four different types of properties, (detached, semi-detached, terraced and flats/maisonettes) for 331 local planning authorities (LPA) over the period 1996Q1 to 2021Q2. See also Lin and Shin (2023).
UKhouse## `UKhouse`
Each LPA belongs to one of the ten regions: North East (NE), North West (NW), Yorkshire and the Humber (YH), East Midlands (EM), West Midlands(WM), East of England (EE), London (LD), South East (SE), South West (SW) and Wales (WA). The real house price growth of the \(j\)-th LPA-type pair in region \(i\) by deflating the nominal house price by CPI and log-differencing it as $$\pi_{ijt}=100\times \log\left(\frac{PRICE_{ijt}}{CPI_{t}}\right)-100 \times \log\left(\frac{PRICE_{ij,t-1}}{CPI_{t-1}}\right).$$ By removing the series with missing observations, it ends up with a balanced panel with \(R = 10\), \(N =\sum_{i=1}^{R} N_{i} = 1300\) and \(T = 102\).
Columns in the dataset:
"Date" Time variable.
"Region" Name of region which the LPA belongs to.
"LPA" Name of the LPA.
"Type" Name of the house type.
"LPA_Type" Name of the LPA-type pair.
Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.