Econometric Modelling of UK House Prices Using Accelerated Importance Sampling

Jean-Francois Richard and Wei Zhang

Oxford Bulletin of Economics and Statistics, 1996, vol. 58, issue 4, 601-13

Abstract: The authors consider stochastic and dynamic extensions of a model for U.K. house prices proposed by D. F. Hendry (1984). Numerical integrations are carried out by means of an accelerated importance sampling technique developed by J. F. Richard and W. Zhang (1996). The authors find that prices 'perfectly' adjust to a stochastic latent variable ('excess demand') whose distribution only depends upon observable characteristics of the market, not upon its own lagged values. Copyright 1996 by Blackwell Publishing Ltd

Date: 1996
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