Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis

Hossein Hassani, Zara Ghodsi, Rangan Gupta and Mawuli Segnon ()
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Zara Ghodsi: The Statistical Research Centre, Bournemouth University, UK
Mawuli Segnon: Christian-Albrechts-University Kiel, Department of Economics, 24098, Kiel, Germany

No 201482, Working Papers from University of Pretoria, Department of Economics

Abstract: Accurate forecasts of home sales can provide valuable information for not only, policy makers, but also financial institutions and real estate professionals. Given this, our analysis compares the ability of two different versions of Singular Spectrum Analysis (SSA) methods, namely Recurrent SSA (RSSA) and Vector SSA (VSSA), in univariate and multivariate frameworks, in forecasting seasonally unadjusted home sales for the aggregate US economy and its four census regions (Northeast, Midwest, South and West). We compare the performance of the SSA-based models with classical and Bayesian variants of the autoregressive and vector autoregressive models. Using an out-of-sample period of 1979:8-2014:6, given an in-sample period of 1973:1-1979:7, we find that the univariate VSSA is the best performing model for the aggregate US home sales, while the multivariate versions of the RSSA is the outright favorite in forecasting home sales for all the four census regions. Our results highlight the superiority of the nonparametric approach of the SSA, which in turn, allows us to handle any statistical process: linear or nonlinear, stationary or non-stationary, Gaussian or non-Gaussian.

Keywords: Home Sales; Forecasting; Singular Spectrum Analysis; Classical and Bayesian (Vector) Autoregressive Models (search for similar items in EconPapers)
JEL-codes: C32 R31 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-12
New Economics Papers: this item is included in nep-for and nep-ure
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Journal Article: Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis (2017)
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