Forecasting Housing Prices: Dynamic Factor Model versus LBVAR Model

The purpose of this paper is to compare the forecasting power of DFM and LBVAR models as they are used to forecast house price growth rates for 42 metropolitan areas in the United States. The forecasting performances of these two large-scale models are compared based on the Theil U-statistic.

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Year of publication:	2010
Authors:	Li, Yarui ; Leatham, David J.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Housing market \| DFM \| LBVAR \| dynamic PCA \| Demand and Price Analysis

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Extent:	application/pdf
Series:	2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania Number 103667
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009021483