Bork, Lasse; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2012
We examine US housing price forecastability using a common factor approach based on a large panel of 122 economic time series. We find that a simple three-factor model generates an explanatory power of about 50% in one-quarter ahead in-sample forecasting regressions. The predictive power of the...