Econometric Modelling of UK House Prices Using Accelerated Importance Sampling

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Econometric Modelling of UK House Prices Using Accelerated Importance Sampling

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Richard, Jean-Francois
Zhang, Wei

Abstract

The authors consider stochastic and dynamic extensions of a model for U.K. house prices proposed by D. F. Hendry (1984). Numerical integrations are carried out by means of an accelerated importance sampling technique developed by J. F. Richard and W. Zhang (1996). The authors find that prices 'perfectly' adjust to a stochastic latent variable ('excess demand') whose distribution only depends upon observable characteristics of the market, not upon its own lagged values. Copyright 1996 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 4 (November)
Pages: 601-13
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Handle: RePEc:bla:obuest:v:58:y:1996:i:4:p:601-13

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David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Other versions:
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society. [Downloadable!]
- David Hendry & Michael Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 078, University of Oxford, Department of Economics. [Downloadable!]
- David F. Hendry & Michael P. Clements, 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 082, European Central Bank. [Downloadable!]
- Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March. [Downloadable!] (restricted)
Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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