关键词: 房价, 地价, 非平稳面板计量

Abstract: In this paper we re-investigate the co-movement and the granger-causality relationship between housing price and land price by using the quarterly panel date from the 29 cities of China and the new non-stationary penal econometrics methods. This paper has solved the questions of small sample and the difference of different cities. The empirical results provide clear support of a long-run cointegration relationship between housing price and land price. But the long-run relationships are different in different cities. The evidence shows that long-run and short-run granger-causalities run from housing price to the land price. While from land price to housing price only exists long-run granger-causalities.

Key words: Housing price, Land price, the non-stationary penal econometrics methods