ENHANCING INFORMATION USE TO IMPROVE PREDICTIVE PERFORMANCE IN PROPERTY MARKETS

Patrick J. Wilson, John Okunev and Patrick J. Wilson
Authors registered in the RePEc Author Service: Patrick Wilson ()

ERES from European Real Estate Society (ERES)

Abstract: Pooling the forecast outcomes from different models has been shown by Makridakis (1989), Clement (1989) and others to improve out-of-sample forecast test statistics beyond any of the individual component techniques. As well as conventional combining, a different approach to forecast combination is also followed in this paper viz. we use a method suggested more recently by Ridley (1997, 1999) in which negatively correlated forecasts are combined to see if this offers improved out-of-sample forecasting performance in property markets.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2000-06-01
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