Housing price forecastability: A factor analysis

Publikation: Working paperForskning


  • Rp12 27

    Indsendt manuskript, 416 KB, PDF-dokument

We examine US housing price forecastability using a common factor approach based on a large panel of 122 economic time series. We find that a simple three-factor model generates an explanatory power of about 50% in one-quarter ahead in-sample forecasting regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly statistically signi…cant according to a bootstrap resampling method which takes into account that the factors are estimated regressors. The simple three-factor model also contains substantial out-of-sample predictive power and performs remarkably well compared to both autoregressive benchmarks and computational intensive forecast combination models.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider44
StatusUdgivet - 4 jun. 2012
SerietitelCREATES Research Papers


  • House prices, Forecasting, Factor model, Principal components, Macroeconomic factors, Factor forecast combination, Bootstrap

Se relationer på Aarhus Universitet Citationsformater


Ingen data tilgængelig

ID: 45698099