Backcasting, nowcasting, and forecasting residential repeat-sales returns : big data meets mixed frequency

The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-casts, and short-term forecasts of the index returns. Combining individual forecasts with recently-proposed weighting schemes delivers large improvements in forecast accuracy at all horizons. Additional gains obtain with mixed-data sampling methods that exploit the daily frequency of financial variables, reducing the mean square forecast error by as much as 13% compared to a simple autoregressive benchmark. The forecast improvements are largest during economic turmoils, throughout the 2020 COVID-19 pandemic period, and in more populous metropolitan areas