 Forecasting house prices using dynamic model averaging approach: Evidence from ChinaYu Wei and Yang Cao Economic Modelling, 2017, vol. 61, issue C, 147-155 Abstract: Forecasting house price has been of great interests for macroeconomists, policy makers and investors in recent years. To improve the forecasting accuracy, this paper introduces a dynamic model averaging (DMA) method to forecast the growth rate of house prices in 30 major Chinese cities. The advantage of DMA is that this method allows both the sets of predictors (forecasting models) as well as their coefficients to change over time. Both recursive and rolling forecasting modes are applied to compare the performance of DMA with other traditional forecasting models. Furthermore, a model confidence set (MCS) test is used to statistically evaluate the forecasting efficiency of different models. The empirical results reveal that DMA generally outperforms other models, such as Bayesian model averaging (BMA), information-theoretic model averaging (ITMA) and equal-weighted averaging (EW), in both recursive and rolling forecasting modes. In addition, in recent years it is found that the Google search index, instead of fundamental macroeconomic or monetary indicators, has developed greater predictive power for house price in China. Keywords: C53; C22; G14; G13; R21; R31; House price forecasting; DMA; Rolling forecasting; MCS (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:61:y:2017:i:c:p:147-155 DOI: 10.1016/j.econmod.2016.12.002 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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