Publication: Forecasting the US housing market
Issued Date
2014-07-01
Resource Type
ISSN
01692070
Other identifier(s)
2-s2.0-84897692282
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
International Journal of Forecasting. Vol.30, No.3 (2014), 415-425
Suggested Citation
Roy Kouwenberg, Remco Zwinkels Forecasting the US housing market. International Journal of Forecasting. Vol.30, No.3 (2014), 415-425. doi:10.1016/j.ijforecast.2013.12.010 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/33518
Research Projects
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Title
Forecasting the US housing market
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Abstract
The recent housing market boom and bust in the United States illustrates that real estate returns are characterized by short-term positive serial correlation and long-term mean reversion to fundamental values. We develop an econometric model that includes these two components, but with weights that vary dynamically through time depending on recent forecasting performances. The smooth transition weighting mechanism can assign more weight to positive serial correlation in boom times, and more weight to reversal to fundamental values during downturns. We estimate the model with US national house price index data. In-sample, the switching mechanism significantly improves the fit of the model. In an out-of-sample forecasting assessment the model performs better than competing benchmark models. © 2014 International Institute of Forecasters.