EconPapers    
Economics at your fingertips  
 

The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US

Mehmet Balcilar, Rangan Gupta and Stephen Miller

Applied Economics, 2015, vol. 47, issue 22, 2259-2277

Abstract: This article provides out-of-sample forecasts of linear and nonlinear models of US and four Census subregions’ housing prices. The forecasts include the traditional point forecasts, but also include interval and density forecasts, of the housing price distributions. The nonlinear smooth-transition autoregressive model outperforms the linear autoregressive model in point forecasts at longer horizons, but the linear autoregressive and nonlinear smooth-transition autoregressive models perform equally at short horizons. In addition, we generally do not find major differences in performance for the interval and density forecasts between the linear and nonlinear models. Finally, in a dynamic 25-step ex-ante and interval forecasting design, we, once again, do not find major differences between the linear and nonlinear models. In sum, we conclude that when forecasting regional housing prices in the United States, generally the additional costs associated with nonlinear forecasts outweigh the benefits for forecasts only a few months into the future.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1005814 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US (2012) Downloads
Working Paper: The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US (2012) Downloads
Working Paper: The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US (2012)
Working Paper: The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:22:p:2259-2277

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1005814

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2024-05-07
Handle: RePEc:taf:applec:v:47:y:2015:i:22:p:2259-2277