Forecasting house price inflation: a model combination approach

Sarah Drought and Chris McDonald
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Chris McDonald: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No DP2011/07, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: In this paper we use a range of statistical models to forecast New Zealand house price in ation. We address the issue of model uncertainty by combining forecasts using weights based on out-of-sample forecast performance. We consider how the combined forecast for house prices performs relative to both the individual model forecasts and the Reserve Bank of New Zealand's house price forecasts. We find that the combination forecast is on par with the best of the models for most forecast horizons, and has produced lower root mean squared forecast errors than the Reserve Bank's forecasts.

JEL-codes: E17 E37 (search for similar items in EconPapers)
Pages: 32 p.
Date: 2011-11
New Economics Papers: this item is included in nep-for, nep-mac and nep-ure
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:2011/07

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