Studies that estimate the effect on consumption of changes in housing wealth and stock market wealth often find that one of the coefficients is insignificant. For example, Tan and Voss (2003) use Australian data and find a strong long- run effect of stock market wealth but an insignificant housing wealth effect. In addition, Case, Quigley and Shiller (2001) report a number of US studies that use aggregate level or household level data and have had difficulty in finding a significant housing wealth effect. They suggest that this may be the result of multicollinearity of the two wealth variables, which might be overcome using state-level data. Using a panel.
