Advanced Search
MyIDEAS: Login to save this paper or follow this series

Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa

Contents:

Author Info

  • Rangan Gupta

    ()
    (Department of Economics, University of Pretoria)

  • Sonali Das

    ()
    (LQM, CSIR, Pretoria)

Abstract

This paper estimates Spatial Bayesian Vector Autoregressive models (SBVAR), based on the First-Order Spatial Contiguity and the Random Walk Averaging priors, for six metropolitan areas of South Africa, using monthly data over the period of 1993:07 to 2005:06. We then forecast one- to six-months-ahead house prices over the forecast horizon of 2005:07 to 2007:06. When we compare forecasts generated from the SBVARs with those from an unrestricted Vector Autoregressive (VAR) and the Bayesian Vector Autoregressive (BVAR) models based on the Minnesota prior, we find that, the spatial models tend to outperform the other models for large middle-segment houses; while, the VAR and the BVAR models tend to produce lower average out-of-sample forecast errors for middle and small middle segment houses, respectively. In addition, based on the priors used to estimate the Bayesian models, our results also suggest that prices tend to converge for both large- and middle-sized houses, but no such evidence could be obtained for the small-sized houses.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number 200813.

as in new window
Length: 20 pages
Date of creation: Jun 2008
Date of revision:
Handle: RePEc:pre:wpaper:200813

Contact details of provider:
Postal: PRETORIA, 0002
Phone: (+2712) 420 2413
Fax: (+2712) 362-5207
Web page: http://web.up.ac.za/default.asp?ipkCategoryID=677
More information through EDIRC

Related research

Keywords: BVAR Model; BVAR Forecasts; Forecast Accuracy; SBVAR Model; SBVAR Forecasts; VAR Model; VAR Forecasts;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers, University of Connecticut, Department of Economics 2009-13, University of Connecticut, Department of Economics.
  2. Roula Inglesi-Lotz & Rangan Gupta, 2011. "Relationship between House Prices and Inflation in South Africa: An ARDL Approach," Working Papers, University of Pretoria, Department of Economics 201130, University of Pretoria, Department of Economics.
  3. Aye, G.C. & Goswami, S. & Gupta, R., 2013. "Metropolitan House Prices In Regions of India: Do They Converge?," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 13(1), pages 135-144.
  4. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 20/12, School of Economics and Business Administration, University of Navarra.
  5. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers, University of Pretoria, Department of Economics 201132, University of Pretoria, Department of Economics.
  6. Goodness C. Aye & Samrat Goswami & Rangan Gupta, 2012. "Metropolitan House Prices In India: Do They Converge?," Working Papers, University of Pretoria, Department of Economics 201220, University of Pretoria, Department of Economics.
  7. Rangan Gupta & Sonali Das, 2008. "Predicting Downturns in the US Housing Market: A Bayesian Approach," Working Papers, University of Pretoria, Department of Economics 200821, University of Pretoria, Department of Economics.
  8. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers, University of Pretoria, Department of Economics 200927, University of Pretoria, Department of Economics.
  9. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers, University of Pretoria, Department of Economics 201214, University of Pretoria, Department of Economics.
  10. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 315-323, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:200813. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.