The role of housing sentiment in forecasting U.S. home sales growth: evidence from a Bayesian compressed vector autoregressive model

Rangan Gupta, Chi Keung Lau, Vasilios Plakandaras and Wing-Keung Wong

Economic Research-Ekonomska Istraživanja, 2019, vol. 32, issue 1, 2554-2567

Abstract: Accurate forecasts of home sales can provide valuable information for not only policymakers, but also financial institutions and real estate professionals. Against this backdrop, the objective of our article is to analyse the role of consumers’ home buying attitudes in forecasting quarterly U.S. home sales growth. Our results show that the home sentiment index in standard classical and Minnesota prior-based Bayesian V.A.R.s fail to add to the forecasting accuracy of the growth of home sales derived from standard economic variables already included in the models. However, when shrinkage is achieved by compressing the data using a Bayesian compressed V.A.R. (instead of the parameters as in the B.V.A.R.), growth of U.S. home sales can be forecasted more accurately, with the housing market sentiment improving the accuracy of the forecasts relative to the information contained in economic variables only.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2019.1650657 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model (2018)
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:reroxx:v:32:y:2019:i:1:p:2554-2567

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2019.1650657

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().