Forecasting the U.S. Real House Price Index

Vasilios Plakandaras, Rangan Gupta, Theophilos Papadimitriou and Periklis Gogas

No 10-2014, DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics

Abstract: The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode Decomposition (EEMD) from the field of signal processing with the Support Vector Regression (SVR) methodology that originates from machine learning. We test the forecasting ability of the proposed model against a Random Walk (RW) model, a Bayesian Autoregressive and a Bayesian Vector Autoregressive model. The proposed methodology outperforms all the competing models with half the error of the RW model with and without drift in out-of-sample forecasting. Finally, we argue that this new methodology can be used as an early warning system for forecasting sudden house prices drops with direct policy implications.

Keywords: house prices forecasting; machine learning; Support Vector Regression (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2014-04-30
New Economics Papers: this item is included in nep-for and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2431627 Full text (application/pdf)

Related works:
Working Paper: Forecasting the U.S. Real House Price Index (2017)
Journal Article: Forecasting the U.S. real house price index (2015)
Working Paper: Forecasting the U.S. Real House Price Index (2014)
Working Paper: Forecasting the U.S. Real House Price Index (2014)
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:ris:duthrp:2014_010

Access Statistics for this paper

More papers in DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics Department of Economics, University Campus, Komotini, 69100, Greece. Contact information at EDIRC.
Bibliographic data for series maintained by Periklis Gogas ().